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Title: Effectiveness of measures of performance during speculative bubbles
Authors: Petroni, Filippo
Rotundo, Giulia
Keywords: Maximum drawdown; Calmar ratio; Sharpe ratio; Speculative bubbles
Issue Date: 2008
Publisher: Physica A
Source: 6. F. Petroni, G. Rotundo, “Effectiveness of measures of performance during speculative bubbles”, Physica A, ISSN: 0378-4371, (2008) 387 (15) 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 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.
ISSN: 0378-4371
Appears in Collections:DEIM - Archivio della produzione scientifica

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