Alessandro Casati

Antares Technologies

19, Boulevard Malesherbes

Paris, 75008

France

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The Statistical Properties of the Maximum Drawdown in Financial Time Series

Number of pages: 10 Posted: 02 May 2012 Last Revised: 15 May 2013
Alessandro Casati and Serge Tabachnik
Antares Technologies and Antares Technologies
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Abstract:

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quantitative risk management, maximum drawdown, Monte Carlo, auto-regressive process