An introduction to excursion risk through discrete-time excursions

DOI10.14495/jsiaml.15.97zbMath1530.91616OpenAlexW4387123212MaRDI QIDQ6139493

Naohiro Yoshida, Takahiko Fujita

Publication date: 19 December 2023

Published in: JSIAM Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.14495/jsiaml.15.97

zbMATH Keywords

excursionsrandom walkriskinvestmentpair trading

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Sums of independent random variables; random walks (60G50) Financial markets (91G15)

Cites Work

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• A Guided Tour through Excursions
• Distribution of the number of visits of a random walk
• Notes on a certain local time and excursions of simple symmetric random walks

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