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Extreme times in financial markets

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Author Info
Jaume Masoliver
Miquel Montero
Josep Perello

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Abstract

We apply the theory of continuous time random walks to study some aspects of the extreme value problem applied to financial time series. We focus our attention on extreme times, specifically the mean exit time and the mean first-passage time. We set the general equations for these extremes and evaluate the mean exit time for actual data.

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File URL: http://arxiv.org/abs/cond-mat/0406556
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File URL: http://arxiv.org/pdf/cond-mat/0406556
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Paper provided by arXiv.org in its series Quantitative Finance Papers with number cond-mat/0406556.

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Date of creation: Jun 2004
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Publication status: Published in PHYSICAL REVIEW E 71, 056130 (2005)
Handle: RePEc:arx:papers:cond-mat/0406556

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Web page: http://arxiv.org/

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