Scaling and data collapse for the mean exit time of asset prices

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dc.creatorMontero, Miquel
dc.creatorPerello, Josep
dc.creatorMasoliver, Jaume
dc.creatorLillo, Fabrizio
dc.creatorMicciche, Salvatore
dc.creatorMantegna, Rosario N.
dc.date2005-07-06
dc.date.accessioned2026-07-07T12:07:35Z
dc.date.available2026-07-07T12:07:35Z
dc.descriptionWe study theoretical and empirical aspects of the mean exit time of financial time series. The theoretical modeling is done within the framework of continuous time random walk. We empirically verify that the mean exit time follows a quadratic scaling law and it has associated a pre-factor which is specific to the analyzed stock. We perform a series of statistical tests to determine which kind of correlation are responsible for this specificity. The main contribution is associated with the autocorrelation property of stock returns. We introduce and solve analytically both a two-state and a three-state Markov chain models. The analytical results obtained with the two-state Markov chain model allows us to obtain a data collapse of the 20 measured MET profiles in a single master curve.
dc.descriptionREVTeX 4, 11 pages, 8 figures, 1 table, submitted for publication
dc.identifierhttps://arxiv.org/abs/physics/0507054
dc.identifierhttp://arxiv.org/abs/physics/0507054
dc.identifierPHYSICAL REVIEW E 72, 056101 (2005)
dc.identifierdoi:10.1103/PhysRevE.72.056101
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/209021
dc.subjectPhysics and Society
dc.subjectStatistical Finance
dc.titleScaling and data collapse for the mean exit time of asset prices
dc.typetext

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