Modeling Maximum drawdown Records with Piecewise Deterministic Markov Processe in Capital Markets
Risk Management
2025-04-01 v1 Statistics Theory
Applications
Methodology
Statistics Theory
Abstract
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.
Cite
@article{arxiv.2503.23221,
title = {Modeling Maximum drawdown Records with Piecewise Deterministic Markov Processe in Capital Markets},
author = {Rolando Rubilar-Torrealba and Lisandro Fermin and Soledad Torres},
journal= {arXiv preprint arXiv:2503.23221},
year = {2025}
}
Comments
19 pages, 8 figures