The maximum drawdown of the Brownian motion

被引：8
|
作者：
Magdon-Ismail, M [1 ]
Atiya, A [1 ]
Pratap, A [1 ]
Abu-Mostafa, Y [1 ]
机构：
[1] Rensselaer Polytech Inst, Dept Comp Sci, Troy, NY 12180 USA
来源：
2003 IEEE INTERNATIONAL CONFERENCE ON COMPUTATIONAL INTELLIGENCE FOR FINANCIAL ENGINEERING, PROCEEDINGS | 2003年
关键词：
D O I：
10.1109/CIFER.2003.1196267
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
引用
收藏
页码：243 / 247
页数：5
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