10 citations
2 papers
q-fin.ST2007★ 7 cited
Effectiveness of Measures of Performance During Speculative Bubbles
Filippo Petroni, Giulia Rotundo
Statistical analysis of financial data most focused on testing the validity of Brownian motion (Bm). Analysis performed on several time series have shown deviation from the Bm hypo…
physics.data-an2006★ 10 cited
On the maximum drawdown during speculative bubbles
Giulia Rotundo, Mauro Navarra
A taxonomy of large financial crashes proposed in the literature locates the burst of speculative bubbles due to endogenous causes in the framework of extreme stock market crashes,…