We investigate the distributions of epsilon-drawdowns and epsilon-drawups of the most liquid futures financial contracts of the world at time scales of 30 seconds. The epsilon-drawdowns (resp. epsilon- drawups) generalise the notion of runs of negative (resp. positive) returns so as to capture the risks to which invest…
On-device research index
arXiv research
A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.
169,291 papers · 148 categories
Trend · papers per month
5 results for “drawdown-drawup”
Unified approach for drawdown and drawup of Markov processes.
problem Study of drawdown and drawup in time-homogeneous Markov processes.
method Short-time pathwise analysis, integral equation solution.
result Unified approach to study various drawdown quantities.
Fair valuation of Lévy-type drawdown-drawup contracts with general insured and penalty functionsq-fin.PR
The paper calculates fair premiums and optimal stopping rules for equity-linked contracts tied to drawdown and drawup events.
problem Fair valuation of equity-linked contracts tied to drawdown and drawup events.
method Fluctuation theory of Lévy processes and optimal stopping theory.
result Calculation of fair premiums and optimal stopping rules for equity-linked contracts.
Unified framework for drawdown risk computation under Markov models.
problem High computational challenges in drawdown risk metrics.
method Unified framework for computing five drawdown quantities under general Markov models, using linear systems and efficient algorithms.
result Efficient algorithms achieve same complexity as path-independent problems, validated by rigorous convergence analysis and extensive experiments.
The paper calculates premiums and optimal stopping rules for insurance contracts with Lévy assets.
problem Calculating fair premiums and optimal stopping rules for insurance contracts with Lévy assets.
method Solving two-sided exit problems related to drawdown and drawup of spectrally negative Lévy processes, and optimal stopping theory.
result Fair premiums and optimal stopping rules identified for various insurance contracts.