Extreme times in financial markets

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dc.creatorMasoliver, Jaume
dc.creatorMontero, Miquel
dc.creatorPerello, Josep
dc.date2004-06-23
dc.date.accessioned2026-07-07T12:06:58Z
dc.date.available2026-07-07T12:06:58Z
dc.descriptionWe 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.
dc.description6 pages, 3 figures
dc.identifierhttps://arxiv.org/abs/cond-mat/0406556
dc.identifierhttp://arxiv.org/abs/cond-mat/0406556
dc.identifierPHYSICAL REVIEW E 71, 056130 (2005)
dc.identifierdoi:10.1103/PhysRevE.71.056130
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/208814
dc.subjectOther Condensed Matter
dc.subjectPhysics and Society
dc.subjectTrading and Market Microstructure
dc.titleExtreme times in financial markets
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