Extreme times in financial markets

Details Extreme times in financial markets Extreme times in financial markets

2004-06-23

arxiv.org/abs/cond-mat/0406556v1

PHYSICAL REVIEW E 71, 056130 (2005)

Physics

Condensed Matter

Other Condensed Matter

6 pages, 3 figures

Scientific paper

10.1103/PhysRevE.71.056130

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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