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Effectiveness of measures of performance during speculative bubbles

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Title: Effectiveness of measures of performance during speculative bubbles
Authors: Petroni, Filippo1 fpetroni@gmail.com, Rotundo, Giulia2,3 giulia.rotundo@uniroma1.it
Source: Physica A. Jun2008, Vol. 387 Issue 15, p3942-3948. 7p.
Subjects: Reasoning, Derivative securities, Securities, Eurobond market
Abstract: Abstract: 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()), 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. [Copyright &y& Elsevier]
Copyright of Physica A is the property of Elsevier B.V. and its content may not be copied or emailed to multiple sites without the copyright holder's express written permission. Additionally, content may not be used with any artificial intelligence tools or machine learning technologies. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)
Database: Engineering Source
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Header DbId: egs
DbLabel: Engineering Source
An: 32033420
AccessLevel: 6
PubType: Academic Journal
PubTypeId: academicJournal
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  Data: Effectiveness of measures of performance during speculative bubbles
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  Data: Abstract: 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()), 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. [Copyright &y& Elsevier]
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  Data: <i>Copyright of Physica A is the property of Elsevier B.V. and its content may not be copied or emailed to multiple sites without the copyright holder's express written permission. Additionally, content may not be used with any artificial intelligence tools or machine learning technologies. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract.</i> (Copyright applies to all Abstracts.)
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      – Type: doi
        Value: 10.1016/j.physa.2008.02.070
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      – Code: eng
        Text: English
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        StartPage: 3942
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      – SubjectFull: Derivative securities
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      – SubjectFull: Securities
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      – SubjectFull: Eurobond market
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      – TitleFull: Effectiveness of measures of performance during speculative bubbles
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            NameFull: Petroni, Filippo
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              Text: Jun2008
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