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Extreme times in financial markets.

Authors
Publisher
The American Physical Society
Publication Date
Keywords
  • Física Matemàtica
  • Física Estadística
  • Sistemes No Lineals
  • Mathematical Physics
  • Statistical Physics
  • Nonlinear Systems

Abstract

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.

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