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Maximum drawdown, recovery, and momentum

Choi, Jaehyung - In: Journal of risk and financial management : JRFM 14 (2021) 11, pp. 1-25

consecutive recovery. In various equity markets, monthly momentum- and weekly contrarian-style portfolios constructed from these … outperformance over other alternative momentum portfolios including traditional cumulative return-based momentum portfolios. In … weekly time scales, recovery-related stock selection rules are the best ranking criteria for detecting mean-reversion. For …

Persistent link: https://www.econbiz.de/10012795860

Unbiased Disagreement and the Efficient Market Hypothesis.

Jouini, Elyès; Napp, Clotilde - Université Paris-Dauphine

higher risk premia in the long run (instead of a flat structure), momentum in stock returns in the short run, more variance …

Persistent link: https://www.econbiz.de/10008529672

Unbiased Disagreement and the Efficient Market Hypothesis

Jouini, Elyès; Napp, Clotilde - Université Paris-Dauphine (Paris IX) - 2009

higher risk premia in the long run (instead of a flat structure), momentum in stock returns in the short run, more variance …

Persistent link: https://www.econbiz.de/10010707972

Altcoin-Bitcoin arbitrage

Kakushadze, Zura; Yu, Willie - In: Bulletin of applied economics 6 (2019) 1, pp. 87-110

Persistent link: https://www.econbiz.de/10012020368

Stock market visualization

Kakushadze, Zura; Yu, Willie - In: Journal of risk & control 5 (2018) 1, pp. 35-140

Persistent link: https://www.econbiz.de/10012229145

Financial contracts on electricity in the Nordic power market

Kispert, Wolfgang - 2005

Already before the EU Directive 96/92/EG was passed in 1996, some countries in the EU had started their liberalisation process for energy markets. So, in 1991, Norway established a national power market that in 1996 turned into the multinational power exchange Nord Pool, including all Nordic...

Persistent link: https://www.econbiz.de/10009475314

Empirische Analyse der Drawdowns von Dach-Hedgefonds

Heidorn, Thomas; Kaiser, Dieter G.; Roder, Christoph - 2009

recovery is higher with older FHF, (3) there is no difference in the magnitude of a maximum drawdown between small and large …

Persistent link: https://www.econbiz.de/10010298952

Performance Identification for REITs by Using Draw Measures

Stein, Michael; Rachev, Svetlozar T. - In: International Real Estate Review 16 (2013) 3, pp. 230-251

We use existing drawdown measures as well as modifications and extensions to gain insight into pronounced periods of gains and losses among global real estate companies. While there is no indication on heavier loss periods for companies that had experienced higher drawups in the previous market...

Persistent link: https://www.econbiz.de/10010902837

Effectiveness of measures of performance during speculative bubbles

Petroni, Filippo; Rotundo, Giulia - In: Physica A: Statistical Mechanics and its Applications 387 (2008) 15, pp. 3942-3948

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...

Persistent link: https://www.econbiz.de/10010874879

Distribution of maximum loss of fractional Brownian motion with drift

Caglar, Mine; Vardar-Acar, Ceren - In: Statistics & Probability Letters 83 (2013) 12, pp. 2729-2734

In this paper, we find bounds on the distribution of the maximum loss of fractional Brownian motion with H≥1/2 and derive estimates on its tail probability. Asymptotically, the tail of the distribution of maximum loss over [0,t] behaves like the tail of the marginal distribution at time t.

Persistent link: https://www.econbiz.de/10011040130