Modeling Maximum drawdown Records with Piecewise Deterministic Markov Processe in Capital Markets
Fuente:
arXiv
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| Autores principales: | , , |
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| Formato: | Preprint |
| Publicado: |
2025
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| _version_ | 1866910899050119168 |
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| author | Rubilar-Torrealba, Rolando Fermin, Lisandro Torres, Soledad |
| author_facet | Rubilar-Torrealba, Rolando Fermin, Lisandro Torres, Soledad |
| contents | We propose to model the records of the maximum Drawdown in capital markets by means a Piecewise Deterministic Markov Process (PDMP). We derive statistical results such as the mean and variance that describes the sequence of maximum Drawdown records. In addition, we developed a simulation study and techniques for estimating the parameters governing the stochastic process, using a practical example in the capital market to illustrate the procedure. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2503_23221 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Modeling Maximum drawdown Records with Piecewise Deterministic Markov Processe in Capital Markets Rubilar-Torrealba, Rolando Fermin, Lisandro Torres, Soledad Risk Management Statistics Theory Applications Methodology We propose to model the records of the maximum Drawdown in capital markets by means a Piecewise Deterministic Markov Process (PDMP). We derive statistical results such as the mean and variance that describes the sequence of maximum Drawdown records. In addition, we developed a simulation study and techniques for estimating the parameters governing the stochastic process, using a practical example in the capital market to illustrate the procedure. |
| title | Modeling Maximum drawdown Records with Piecewise Deterministic Markov Processe in Capital Markets |
| topic | Risk Management Statistics Theory Applications Methodology |
| url | https://arxiv.org/abs/2503.23221 |