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
In financial markets, not only prices and returns can be considered as random variables, but also th...
This paper builds a model of high-frequency equity returns by separately modeling the dynam-ics of t...
An extended version of the Continuous-Time Random Walk (CTRW) model with memory is herein developed....
We apply the theory of continuous time random walks (CTRWs) to study some aspects involving extreme ...
An intense research on financial market microstructure is presently in progress. Continuous time ran...
An intense research on financial market microstructure is presently in progress. Continuous time ran...
We study theoretical and empirical aspects of the mean exit time (MET) of financial time series. The...
In high-frequency financial data not only returns, but also waiting times between consecutive trades...
This paper reviews some applications of continuous time random walks (CTRWs) to Finance and Economic...
Continuous time random walks (CTRWs) are used in physics to model anomalous diffusion, by incorporat...
In many physical, social, and economic phenomena, we observe changes in a studied quantity only in d...
We apply the formalism of the continuous-time random walk to the study of financial data. The entire...
Extreme times techniques, generally applied to nonequilibrium statistical mechanical processes, are ...
We apply the formalism of the continuous time random walk (CTRW) theory to financial tick data of th...
ABSTRACT. Based on the continuous-time random walk (CTRW) formalism for high-frequency financial dat...
In financial markets, not only prices and returns can be considered as random variables, but also th...
This paper builds a model of high-frequency equity returns by separately modeling the dynam-ics of t...
An extended version of the Continuous-Time Random Walk (CTRW) model with memory is herein developed....
We apply the theory of continuous time random walks (CTRWs) to study some aspects involving extreme ...
An intense research on financial market microstructure is presently in progress. Continuous time ran...
An intense research on financial market microstructure is presently in progress. Continuous time ran...
We study theoretical and empirical aspects of the mean exit time (MET) of financial time series. The...
In high-frequency financial data not only returns, but also waiting times between consecutive trades...
This paper reviews some applications of continuous time random walks (CTRWs) to Finance and Economic...
Continuous time random walks (CTRWs) are used in physics to model anomalous diffusion, by incorporat...
In many physical, social, and economic phenomena, we observe changes in a studied quantity only in d...
We apply the formalism of the continuous-time random walk to the study of financial data. The entire...
Extreme times techniques, generally applied to nonequilibrium statistical mechanical processes, are ...
We apply the formalism of the continuous time random walk (CTRW) theory to financial tick data of th...
ABSTRACT. Based on the continuous-time random walk (CTRW) formalism for high-frequency financial dat...
In financial markets, not only prices and returns can be considered as random variables, but also th...
This paper builds a model of high-frequency equity returns by separately modeling the dynam-ics of t...
An extended version of the Continuous-Time Random Walk (CTRW) model with memory is herein developed....
Add to ORKG