Economy – Quantitative Finance – Statistical Finance
Scientific paper
2008-03-12
Phys. Rev. E 78, 051113 (2008)
Economy
Quantitative Finance
Statistical Finance
8 pages, 6 figures
Scientific paper
10.1103/PhysRevE.78.051113
The distribution of recurrence times or return intervals between extreme events is important to characterize and understand the behavior of physical systems and phenomena in many disciplines. It is well known that many physical processes in nature and society display long range correlations. Hence, in the last few years, considerable research effort has been directed towards studying the distribution of return intervals for long range correlated time series. Based on numerical simulations, it was shown that the return interval distributions are of stretched exponential type. In this paper, we obtain an analytical expression for the distribution of return intervals in long range correlated time series which holds good when the average return intervals are large. We show that the distribution is actually a product of power law and a stretched exponential form. We also discuss the regimes of validity and perform detailed studies on how the return interval distribution depends on the threshold used to define extreme events.
Kantz Holger
Santhanam M. S.
No associations
LandOfFree
Return interval distribution of extreme events and long term memory does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.
If you have personal experience with Return interval distribution of extreme events and long term memory, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Return interval distribution of extreme events and long term memory will most certainly appreciate the feedback.
Profile ID: LFWR-SCP-O-369347