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Browsing by Subject "Maximum drawdown"

Browsing by Subject "Maximum drawdown"

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  • Çağlar, Mine; Varda-Acar, Ceren (Elsevier Science Bv, 2013-12)
    In this paper, we find bounds on the distribution of the maximum loss of fractional Brownian motion with H >= 1/2 and derive estimates on its tail probability. Asymptotically, the tail of the distribution of maximum loss ...