Carregant...
Fitxers
Tipus de document
ArticleVersió
Versió publicadaData de publicació
Tots els drets reservats
Si us plau utilitzeu sempre aquest identificador per citar o enllaçar aquest document: https://hdl.handle.net/2445/18784
Scaling and data collapse for the mean exit time of asset prices
Títol de la revista
Director/Tutor
ISSN de la revista
Títol del volum
Recurs relacionat
Resum
We study theoretical and empirical aspects of the mean exit time (MET) of financial time series. The theoretical modeling is done within the framework of continuous time random walk. We empirically verify that the mean exit time follows a quadratic scaling law and it has associated a prefactor which is specific to the analyzed stock. We perform a series of statistical tests to determine which kind of correlation are responsible for this specificity. The main contribution is associated with the autocorrelation property of stock returns. We introduce and solve analytically both two-state and three-state Markov chain models. The analytical results obtained with the two-state Markov chain model allows us to obtain a data collapse of the 20 measured MET profiles in a single master curve.
Matèries
Matèries (anglès)
Citació
Citació
MONTERO TORRALBO, Miquel, PERELLÓ, Josep, MASOLIVER, Jaume, LILLO, Fabrizio, MICCICHÈ, Salvatore, MANTEGNA, Rosario n.. Scaling and data collapse for the mean exit time of asset prices. _Physical Review E_. 2005. Vol. 72, núm. 5, pàgs. 056101-1-056101-10. [consulta: 7 de gener de 2026]. ISSN: 1539-3755. [Disponible a: https://hdl.handle.net/2445/18784]