Market Drawdowns
1rh4SCX
1rh4SCX
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<strong>Drawdowns</strong><br />
Drawdown partition:<br />
δ = { δ i<br />
= { d(t i−1<br />
+1),…,d(t i<br />
)} i<br />
∀d(t) ∈δ i<br />
,(d(t) = 0) ∨ (d(t) > 0) }<br />
Drawdown process:<br />
D =<br />
⎧<br />
⎪⎛<br />
⎨⎜<br />
⎩⎪ ⎝<br />
Δ 1<br />
= max[δ 1<br />
]<br />
τ 1<br />
= t 1<br />
⎞ ⎛<br />
⎟ ,… Δ i<br />
= max[δ i<br />
]<br />
⎜<br />
⎠ ⎝ τ i<br />
= t i<br />
− t i−1<br />
+1<br />
⎞ ⎫<br />
⎪<br />
⎟ ,… ⎬<br />
⎠ ⎭⎪<br />
6
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