2004/06/23 by Jaume Masoliver, Miquel Montero, Josep Perelló +1 · 1 citation
Economics, Econometrics and Finance · Mathematics · Physics and Astronomy · #Complex Systems and Time Series Analysis #Continuous-time random walk #Econometrics #Economics #Extreme value theory #Finance #Financial Risk and Volatility Modeling #Financial economics #Financial market #Formalism (music) #Futures contract #Liberian dollar #Mathematics #Physics #Quadratic equation #Random walk #Statistical physics #Statistics #Stochastic processes and financial applications #cond-mat.other #physics.soc-ph #q-fin.TR
paper · pdf · doi:10.1103/physreve.71.056130
published as PHYSICAL REVIEW E 71, 056130 (2005) · 6 pages, 3 figures
arxiv created 2004/06/23 · openalex publication_date 2005/05/31 · arxiv updated 2009/12/01 · openalex created_date 2025/10/10 · openalex updated_date 2026/08/05
We apply the theory of continuous time random walks (CTRWs) to study some aspects involving extreme events in financial time series. We focus our attention on the mean exit time (MET). We derive a general equation for this average and compare it with empirical results coming from high-frequency data of the U.S. dollar and Deutsche mark futures market. The empirical MET follows a quadratic law in the return length interval which is consistent with the CTRW formalism.