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20052025
most citedAggregation of weakly dependent doubly stochastic processes

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q-fin.RM2025

Modeling Maximum drawdown Records with Piecewise Deterministic Markov Processe in Capital Markets

Rolando Rubilar-Torrealba, Lisandro Fermin, Soledad Torres

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…