We analyse time series of CDS spreads for a set of major US and European institutions on a pe- riod overlapping the recent financial crisis. We extend the existing methodology of ε-drawdowns to the one of joint ε-drawups, in order to estimate the conditional probabilities of abrupt co-movements among spreads. We correc…
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15 results for “drawup”
In this work we study drawdowns and drawups of general diffusion processes. The drawdown process is defined as the current drop of the process from its running maximum, while the drawup process is defined as the current increase over its running minimum. The drawdown and the drawup are the first hitting times of the dr…
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…
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.
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.
Stochastic Volatility Model with Sticky Drawdown and Drawup Processes: A Deep Learning Approachq-fin.MF
Proposes a new financial model capturing winning and losing streaks.
problem Capturing winning and losing streaks in financial markets.
method Deep learning approach to solve high-dimensional PDE for option pricing.
result Deep learning approach accurately and efficiently solves the PDE.
The problem of portfolio optimization is one of the most important issues in asset management. This paper proposes a new dynamic portfolio strategy based on the time-varying structures of MST networks in Chinese stock markets, where the market condition is further considered when using the optimal portfolios for invest…
This paper studies the stochastic modeling of market drawdown events and the fair valuation of insurance contracts based on drawdowns. We model the asset drawdown process as the current relative distance from the historical maximum of the asset value. We first consider a vanilla insurance contract whereby the protectio…
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 asymmetric price impact between the institutional purchases and sales of 32 liquid stocks in Chinese stock markets in year 2003 is carefully studied. We analyze the price impact in both drawup and drawdown trends with consecutive positive and negative daily price changes, and test the dependence of the price impact…
A new process generalizes geometric Brownian motion with asymmetry.
problem Creating a positive process with asymmetry parameter.
method Introducing asymmetry parameter α to describe volatility at new lows.
result Preserves GBM properties while expressing volatility as weighted mean.
The dynamics of the equal-time cross-correlation matrix of multivariate financial time series is explored by examination of the eigenvalue spectrum over sliding time windows. Empirical results for the S&P 500 and the Dow Jones Euro Stoxx 50 indices reveal that the dynamics of the small eigenvalues of the cross-correlat…
Entropy measures financial drawdowns, volatility, and volatility regimes.
problem Analyzing financial time series with entropy measures.
method Transfer entropy, state space models, entropy of realised volatility.
result Entropy reveals information flows and volatility regimes in financial markets.
Study analyzes Bitcoin price dynamics from 2012 to 2018, identifying major price peaks.
problem Understanding Bitcoin price fluctuations and predicting market crashes.
method Automatic peak detection, Lagrange Regularisation Method, LPPLS model for predicting crashes.
result Identification of 3 major and 10 smaller price peaks over the analyzed period.