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  • Search: subject:"Drawdown-based measures"
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Chi-square independence test 1 Drawdown-based measures 1 Goodness-of-ft test 1 High-frequency fnancial volumes 1 Kullback-Leibler divergence 1 Right censoring 1 Semi-Markov model 1
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CC license 1 Free 1
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Article in journal 1 Aufsatz in Zeitschrift 1
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English 1
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D'Amico, Guglielmo 1 Di Basilio, Bice 1 Petroni, Filippo 1
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Financial innovation : FIN 1
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Drawdown-based risk indicators for high-frequency fnancial volumes
D'Amico, Guglielmo; Di Basilio, Bice; Petroni, Filippo - In: Financial innovation : FIN 10 (2024), pp. 1-40
In stock markets, trading volumes serve as a crucial variable, acting as a measure for a security's liquidity level. To evaluate liquidity risk exposure, we examine the process of volume drawdown and measures of crash-recovery within fuctuating time frames. These moving time windows shield our...
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