Exact Ruin Probabilities and the Evaluation of Program Trading On Financial Markets |
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| Authors: | D. P. Kennedy |
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| Affiliation: | Statistical Laboratory, University of Cambridge, Cambridge CB2 1SB, U.K. |
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| Abstract: | For a compound Poisson process with negative drift and jump distribution consisting of a mixture of exponentials on [0) and on (-, 0), an exact expression is derived for the probability of hitting the level c, c > 0. the problem is motivated by modeling the returns from trading on financial markets. |
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