We propose to model the records of the maximum Drawdown in capital markets by means a Piecewise Deterministic Markov Process (PDMP). We derive statistical results such as the mean and variance that describes the sequence of maximum Drawdown records. In addition, we developed a simulation study and techniques for estimating the parameters governing the stochastic process, using a practical example in the capital market to illustrate the procedure.

翻译：本文提出采用分段确定性马尔可夫过程对资本市场中的最大回撤记录进行建模。我们推导了描述最大回撤记录序列的均值与方差等统计结果。此外，通过开发仿真研究及随机过程参数估计技术，并结合资本市场的实际案例对建模流程进行了实证说明。