Please use this identifier to cite or link to this item: http://hdl.handle.net/2445/18843
Title: Extreme times in financial markets.
Author: Masoliver, Jaume, 1951-
Montero Torralbo, Miquel
Perelló, Josep, 1974-
Keywords: Física matemàtica
Física estadística
Sistemes no lineals
Mathematical physics
Statistical physics
Nonlinear systems
Issue Date: 2005
Publisher: The American Physical Society
Abstract: We apply the theory of continuous time random walks (CTRWs) to study some aspects involving extreme events in financial time series. We focus our attention on the mean exit time (MET). We derive a general equation for this average and compare it with empirical results coming from high-frequency data of the U.S. dollar and Deutsche mark futures market. The empirical MET follows a quadratic law in the return length interval which is consistent with the CTRW formalism.
Note: Reproducció del document publicat a: http://dx.doi.org/10.1103/PhysRevE.71.056130
It is part of: Physical Review E, 2005, vol. 71, núm. 5, p. 056130-1-056130-6
URI: http://hdl.handle.net/2445/18843
ISSN: 1063-651X
Appears in Collections:Articles publicats en revistes (Física de la Matèria Condensada)

Files in This Item:
File Description SizeFormat 
517167.pdf118.56 kBAdobe PDFView/Open


Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.