1.3k citations · 14.5k across the 144 of their papers we have counts for
5 papers · 1 filter
Inverse Statistics in Economics : The gain-loss asymmetry
Mogens H. Jensen, Anders Johansen, Ingve Simonsen
Inverse statistics in economics is considered. We argue that the natural candidate for such statistics is the investment horizons distribution. This distribution of waiting times n…
Characterization of large price variations in financial markets
Anders Johansen
Statistics of drawdowns (loss from the last local maximum to the next local minimum) plays an important role in risk assessment of investment strategies. As they incorporate higher…
Remarks on reply to Johansen's comment
Anders Johansen
Remarks on reply (cond-mat/0206368) to Johansen's comment (cond-mat/0205249)
Comment on "Are financial crashes predictable?"
Anders Johansen
Comment on "Are financial crashes predictable?", L. Laloux, M. Potters, R. Cont, J.P Aguilar and J.-P. Bouchaud, Europhys. Lett. 45, 1-5 (1999)
Optimal Investment Horizons
Ingve Simonsen, Mogens H. Jensen, Anders Johansen
In stochastic finance, one traditionally considers the return as a competitive measure of an asset, {\it i.e.}, the profit generated by that asset after some fixed time span ,…