Drawdowns preceding rallies in the Brownian motion model
نویسندگان
چکیده
منابع مشابه
Drawdowns Preceding Rallies in the Brownian Motion Model
We study drawdowns and rallies of Brownian motion. A rally is defined as the difference of the present value of the Brownian motion and its historical minimum, while the drawdown is defined as the difference of the historical maximum and its present value. This paper determines the probability that a drawdown of a units precedes a rally of b units. We apply this result to examine stock market c...
متن کاملBrownian Motion: The Link Between Probability and Mathematical Analysis
This article has no abstract.
متن کاملBrownian Brownian Motion – I
A classical model of Brownian motion consists of a heavy molecule submerged into a gas of light atoms in a closed container. In this work we study a 2D version of this model, where the molecule is a heavy disk of mass M ≫ 1 and the gas is represented by just one point particle of mass m = 1, which interacts with the disk and the walls of the container via elastic collisions. Chaotic behavior of...
متن کاملA Piecewise-Deterministic Model for Brownian Motion
In the present paper, the classical Brownian motion of a particle suspended in an homogeneous liquid is modeled as a piecewise–deterministic Markov process with state space inculding position as well as velocity of the particle in motion. This model is less idealized than the classical Wiener or Ornstein–Uhlenbeck processes. It leads to more complex expressions for the transition densities, but...
متن کاملA Dynamic Cournot Model with Brownian Motion
In this paper we develop a stochastic version of a dynamic Cournot model. The model is dynamic because firms are slow to adjust output in response to changes in their economic environment. The model is stochastic because management may make errors in identifying the best course of action in a dynamic setting. We capture these behavioral errors with Brownian motion. The model demonstrates that t...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Quantitative Finance
سال: 2006
ISSN: 1469-7688,1469-7696
DOI: 10.1080/14697680600764227