Search results for "Langevin-type equation"

showing 2 items of 2 documents

Volatility Effects on the Escape Time in Financial Market Models

2008

We shortly review the statistical properties of the escape times, or hitting times, for stock price returns by using different models which describe the stock market evolution. We compare the probability function (PF) of these escape times with that obtained from real market data. Afterwards we analyze in detail the effect both of noise and different initial conditions on the escape time in a market model with stochastic volatility and a cubic nonlinearity. For this model we compare the PF of the stock price returns, the PF of the volatility and the return correlation with the same statistical characteristics obtained from real market data.

Physics - Physics and SocietyStock market modelFOS: Physical sciencesProbability density functionPhysics and Society (physics.soc-ph)Langevin-type equationHeston modelEconophysics; Stock market model; Langevin-type equation; Heston model; Complex SystemsFOS: Economics and businessEconometricsEconomicsEngineering (miscellaneous)Statistical Finance (q-fin.ST)EconophysicsStochastic volatilityApplied MathematicsEconophysicFinancial marketQuantitative Finance - Statistical FinanceComplex SystemsSettore FIS/07 - Fisica Applicata(Beni Culturali Ambientali Biol.e Medicin)Heston modelModeling and SimulationMarket dataStock marketVolatility (finance)
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Hitting Time Distributions in Financial Markets

2006

We analyze the hitting time distributions of stock price returns in different time windows, characterized by different levels of noise present in the market. The study has been performed on two sets of data from US markets. The first one is composed by daily price of 1071 stocks trade for the 12-year period 1987-1998, the second one is composed by high frequency data for 100 stocks for the 4-year period 1995-1998. We compare the probability distribution obtained by our empirical analysis with those obtained from different models for stock market evolution. Specifically by focusing on the statistical properties of the hitting times to reach a barrier or a given threshold, we compare the prob…

Statistics and ProbabilityPhysics - Physics and SocietyAutoregressive conditional heteroskedasticityStock market modelFOS: Physical sciencesPhysics and Society (physics.soc-ph)Langevin-type equationHeston modelEconophysics; Stock market model; Langevin-type equation; Heston model; Complex SystemsFOS: Economics and businessEconometricsMathematicsGeometric Brownian motionStatistical Finance (q-fin.ST)Actuarial scienceEconophysicFinancial marketHitting timeQuantitative Finance - Statistical FinanceComplex SystemsProbability and statisticsCondensed Matter PhysicsSettore FIS/07 - Fisica Applicata(Beni Culturali Ambientali Biol.e Medicin)Heston modelPhysics - Data Analysis Statistics and ProbabilityProbability distributionStock marketData Analysis Statistics and Probability (physics.data-an)
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