Drawdowns and the Speed of Market Crash

By Hongzhong Zhang, Olympia Hadjiliadis. 2012

51 citations recorded by the source corpus.

Subfields: Demography, Finance

View Paper: https://www.semanticscholar.org/paper/0549acc3cb86f60f35782d83e67d7cb7753a991b

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Demography

1. Bin Li
2. Hongzhong Zhang
3. David Landriault

In Finance

1. Bin Li
2. Hongzhong Zhang
3. David Landriault

Citations in the corpus

• On magnitude, asymptotics and duration of drawdowns for L\'{e}vy models (2015, background): “which measure the increase in value of an underlying process from its running minimum; see, for instance, Pistorius [30], Hadjiliadis and Veˇceˇr [16], Pospisil et al. [32], and Zhang and Hadjiliadis [38, 39]. In finance and risk management, researchers have devoted considerable effort in assessing, m”