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原文連結
論文資訊
- 類型：已發表論文
- 日期：2005-11-02
摘要
We study theoretical and empirical aspects of the mean exit time (MET) 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 縮放律 law and it has associated a prefactor which is specific to the analyzed stock. We perform a series of 統計 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 two-state and three-state 馬可夫 chain models. The analytical results obtained with the two-state 馬可夫 chain model allows us to obtain a data collapse of the 20 measured MET profiles in a single master curve.
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