Effectiveness of measures of performance during speculative bubbles
نویسندگان
چکیده
منابع مشابه
Effectiveness of Measures of Performance during Speculative Bubbles
Statistical analysis of financial data most focused on testing the validity of Brownian motion (Bm). Analysis performed on several time series have shown deviation from the Bm hypothesis, that is at the base of the evaluation of many financial derivatives. We inquiry in the behavior of measures of performance based on maximum drawdown movements (MDD), testing their stability when the underlying...
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ژورنال
عنوان ژورنال: Physica A: Statistical Mechanics and its Applications
سال: 2008
ISSN: 0378-4371
DOI: 10.1016/j.physa.2008.02.070