Volatility, Persistence, and Survival in Financial Markets
| dc.creator | Constantin, M. | |
| dc.creator | Sarma, S. Das | |
| dc.date | 2005-07-04 | |
| dc.date | 2005-11-15 | |
| dc.date.accessioned | 2026-07-07T12:07:35Z | |
| dc.date.available | 2026-07-07T12:07:35Z | |
| dc.description | We study the temporal fluctuations in time-dependent stock prices (both individual and composite) as a stochastic phenomenon using general techniques and methods of nonequilibrium statistical mechanics. In particular, we analyze stock price fluctuations as a non-Markovian stochastic process using the first-passage statistical concepts of persistence and survival. We report the results of empirical measurements of the normalized $q$-order correlation functions $f_q(t)$, survival probability $S(t)$, and persistence probability $P(t)$ for several stock market dynamical sets. We analyze both minute-to-minute and higher frequency stock market recordings (i.e., with the sampling time $δt$ of the order of days). We find that the fluctuating stock price is multifractal and the choice of $δt$ has no effect on the qualitative multifractal behavior displayed by the $1/q$-dependence of the generalized Hurst exponent $H_q$ associated with the power-law evolution of the correlation function $f_q(t)\sim t^{H_q}$. The probability $S(t)$ of the stock price remaining above the average up to time $t$ is very sensitive to the total measurement time $t_m$ and the sampling time. The probability $P(t)$ of the stock not returning to the initial value within an interval $t$ has a universal power-law behavior, $P(t)\sim t^{-θ}$, with a persistence exponent $θ$ close to 0.5 that agrees with the prediction $θ=1-H_2$. The empirical financial stocks also present an interesting feature found in turbulent fluids, the extended self-similarity. | |
| dc.description | 11 pages, 14 figures | |
| dc.identifier | https://arxiv.org/abs/physics/0507020 | |
| dc.identifier | http://arxiv.org/abs/physics/0507020 | |
| dc.identifier | Phys. Rev. E 72, 051106 (2005) | |
| dc.identifier | doi:10.1103/PhysRevE.72.051106 | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/209019 | |
| dc.subject | Physics and Society | |
| dc.subject | Statistical Mechanics | |
| dc.subject | Data Analysis, Statistics and Probability | |
| dc.subject | Statistical Finance | |
| dc.title | Volatility, Persistence, and Survival in Financial Markets | |
| dc.type | text |