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http://hdl.handle.net/2445/18843
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DC Field | Value | Language |
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dc.contributor.author | Masoliver, Jaume, 1951- | cat |
dc.contributor.author | Montero Torralbo, Miquel | cat |
dc.contributor.author | Perelló, Josep, 1974- | cat |
dc.date.accessioned | 2011-07-07T12:53:51Z | - |
dc.date.available | 2011-07-07T12:53:51Z | - |
dc.date.issued | 2005 | - |
dc.identifier.issn | 1063-651X | - |
dc.identifier.uri | http://hdl.handle.net/2445/18843 | - |
dc.description.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. | eng |
dc.format.extent | 6 p. | - |
dc.format.mimetype | application/pdf | - |
dc.language.iso | eng | eng |
dc.publisher | The American Physical Society | eng |
dc.relation.isformatof | Reproducció del document publicat a: http://dx.doi.org/10.1103/PhysRevE.71.056130 | cat |
dc.relation.ispartof | Physical Review E, 2005, vol. 71, núm. 5, p. 056130-1-056130-6 | - |
dc.relation.uri | http://dx.doi.org/10.1103/PhysRevE.71.056130 | - |
dc.rights | (c) American Physical Society, 2005 | - |
dc.source | Articles publicats en revistes (Física de la Matèria Condensada) | - |
dc.subject.classification | Física matemàtica | cat |
dc.subject.classification | Física estadística | cat |
dc.subject.classification | Sistemes no lineals | cat |
dc.subject.other | Mathematical physics | eng |
dc.subject.other | Statistical physics | eng |
dc.subject.other | Nonlinear systems | eng |
dc.title | Extreme times in financial markets. | eng |
dc.type | info:eu-repo/semantics/article | - |
dc.type | info:eu-repo/semantics/publishedVersion | - |
dc.identifier.idgrec | 517167 | - |
dc.rights.accessRights | info:eu-repo/semantics/openAccess | - |
Appears in Collections: | Articles publicats en revistes (Física de la Matèria Condensada) |
Files in This Item:
File | Description | Size | Format | |
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517167.pdf | 118.56 kB | Adobe PDF | View/Open |
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