Magnitude and speed of consecutive market crashes in a diffusion model (Q1703022)
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scientific article; zbMATH DE number 6845825
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Magnitude and speed of consecutive market crashes in a diffusion model |
scientific article; zbMATH DE number 6845825 |
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Magnitude and speed of consecutive market crashes in a diffusion model (English)
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1 March 2018
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time-homogeneous diffusion
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generalized drawdown process
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drawdown
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Laplace transform
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Doob-Meyer decomposition
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