Maximum Relative Drawdown measures the largest percentage drop of the price process on a given time interval. Recently, Maximum Relative Drawdown has become more popular as an alternative measure of risk. In contrast to the Value at Risk measure, it captures the path property of the price process. In this article, we propose a partial differential equation approach to determine the theoretical ...

Crude oil exerts a strong influence on national economy. Changes of international crude oil price have an important effect on Chinese economy because of China’s high dependence on the import of the crude oil. Thus, Chinese stock market can be shocked by the fluctuation of oil price. Reversely, changes in crude oil imports of China have some effect on demands and price of the crude oil. This art...

In this study business operations and liquidity and credit risk on price fluctuations on the stock exchange since 2010 to 2013 has been Tehran distance. The sample consisted of 76 company The systematic elimination method is selected. The company had a total of 304 years, in this study, the hypothesis of linear regression and correlation to analyse the data and test hypotheses Eviews software i...

Research on idiosyncratic volatility in developing countries, particularly Indonesia, is scant. This study the first to explain concepts through an information environment approach and examination of asymmetry. aims analyze phenomenon risk whether it related price informativeness or error, by considering environment. We identified based liquidity levels stock risk. Our research revealed relatio...

in this study business operations and liquidity and credit risk on price fluctuations on the stock exchange since 2010 to 2013 has been tehran distance. the sample consisted of 76 company the systematic elimination method is selected. the company had a total of 304 years, in this study, the hypothesis of linear regression and correlation to analyse the data and test hypotheses eviews software i...

In this paper, we investigated the effectiveness of price limit on stock market with correlation study and complex network technology. We proposed a time-migrated DCCA cross-correlation coefficient which is beneficial to detect asynchronous correlations nonstationary time series. The constructed threshold method based DCCA. during crash period studied network. results indicate that ensures more...

Errors in the perception of mean-reversion expectations can cause stockmarket crashes. This view was proposed by Fischer Black after the stockmarket crash of 1987. I discuss this concept and specify a stock-price model with mean-reversion in returns. Using daily data of the Dow Jones Industrial Average and the S&P500 index I show that mean-reversion in returns is a transient but recurring pheno...

The twin problems of hedging and pricing of options in discrete-time markets are analyzed. We consider trading strategies consisting of one stock and one bond. The bond price rises deterministically over time while the stock price can change in several (more than two) ways at each instant of trading. Given such stock price movements, perfect hedging is not possible, and arbitrage arguments alon...

This paper explores the effectiveness of gold as a hedging and safe haven instrument for variety market risks. Rather than confining analysis to specific countries, we treat global asset apply novel Phillips, Shi Yu (2015a) (2015b) methodology identify extreme price movements. method accounts both level speed changes in dynamics that better characterises periods abnormally high We uncover prope...