Effectiveness of measures of performance during speculative bubbles

Filippo Petroni () and Giulia Rotundo

Physica A: Statistical Mechanics and its Applications, 2008, vol. 387, issue 15, 3942-3948

Abstract: Statistical analysis of financial data mostly focused on testing the validity of Brownian motion (Bm). Analyses performed on several time series have shown deviation from the Bm hypothesis, that is at the base of the evaluation of many financial derivatives. We analyze the behavior of performance measures based on maximum drawdown movements (MDD(T)), testing their stability when the underlying process deviates from the Bm hypothesis. In particular we consider the fractional Brownian motion (fBm), and fluctuations estimated empirically on raw market data. The case study of the rising part of speculative bubbles is reported.

Keywords: Maximum drawdown; Calmar ratio; Sharpe ratio; Speculative bubbles (search for similar items in EconPapers)
Date: 2008
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Related works:
Working Paper: Effectiveness of Measures of Performance During Speculative Bubbles (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:387:y:2008:i:15:p:3942-3948

DOI: 10.1016/j.physa.2008.02.070

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