Drawdown Risk Beyond Brownian Motion: A Monte-Carlo Framework, Non-Gaussian Extensions, and Long Memory

By Francesco Landolfi

Published 2026-07-31

Everscope rating

1486.8

Relevance to quantitative trading

10 / 10

Implementation complexity

5 / 10

Reproducibility

5 / 5

About this paper

Methodology: Monte-Carlo Drawdown Simulation Framework with Non-Gaussian and Long-Memory Extensions. Problem types: Risk Management, Density Estimation, Portfolio Optimization.

arXiv:2608.00127 · Paper rankings

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