Unitus DSpace >
Dipartimento di Economia e Impresa >
DEIM - Archivio della produzione scientifica >
Please use this identifier to cite or link to this item:
|Title: ||Effectiveness of measures of performance during speculative bubbles|
|Authors: ||Petroni, Filippo|
|Keywords: ||Maximum drawdown; Calmar ratio; Sharpe ratio; Speculative bubbles|
|Issue Date: ||2008|
|Publisher: ||Physica A|
|Citation: ||6. F. Petroni, G. Rotundo, “Effectiveness of measures of performance during speculative bubbles”, Physica A, ISSN: 0378-4371, (2008) 387 (15) 3942-3948.|
|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 (fB|
|Appears in Collections:||DEIM - Archivio della produzione scientifica|
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.