Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
977987 | Physica A: Statistical Mechanics and its Applications | 2008 | 7 Pages |
Abstract
Statistical analysis of financial data mostly focused on testing the validity of Brownian motion (Bm). Analyses 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 analyze the behavior of performance measures based on maximum drawdown movements (MDD(T)), testing their stability when the underlying process deviates from the Bm hypothesis. In particular we consider the fractional Brownian motion (fBm), and fluctuations estimated empirically on raw market data. The case study of the rising part of speculative bubbles is reported.
Keywords
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Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Filippo Petroni, Giulia Rotundo,