Physics – Physics and Society
Scientific paper
2006-06-06
Physics
Physics and Society
To appear in special issue of Chaos, Solitons and Fractals
Scientific paper
We analyze the data of the Italian and U.S. futures on the stock markets and we test the validity of the Continuous Time Random Walk assumption for the survival probability of the returns time series via a renewal aging experiment. We also study the survival probability of returns sign and apply a coarse graining procedure to reveal the renewal aspects of the process underlying its dynamics.
Bianco Simone
Grigolini Paolo
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