Files

517167.pdf (118.56 KB)

Document type

Article

Version

Published version

Publication date

2005

All rights reserved

Please use this identifier to cite or link to this item: https://hdl.handle.net/2445/18843

Extreme times in financial markets.

Journal Title

Authors

Director/Tutor

Journal ISSN

Volume Title

Related resource

http://dx.doi.org/10.1103/PhysRevE.71.056130

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.

Subject

Física matemàtica, Física estadística, Sistemes no lineals

Subject (English)

Mathematical physics, Statistical physics, Nonlinear systems

Citation

Collections

Articles publicats en revistes (Física de la Matèria Condensada)

Citation

MASOLIVER, Jaume, MONTERO TORRALBO, Miquel and PERELLÓ, Josep. Extreme times in financial markets. Physical Review E. 2005. Vol. 71, num. 5, pags. 056130-1-056130-6. ISSN 1063-651X. [consulted: 18 of June of 2026]. Available at: https://hdl.handle.net/2445/18843

Export metadata

JSON - METS

Share record