Wed. seminar

[CM ICTP - Trieste]

CONDENSED MATTER AND STATISTICAL PHYSICS SECTION

	
INFORMAL SEMINAR  on  Statistical Physics





Wednesday, 14 June    -    4:00 p.m.



SEMINAR ROOM - MAIN BUILDING  (first floor)

	

S. MICCICHÈ   ( Università di Palermo )


" Mean exit times and survival probability of equity assets "



Abstract

We study theoretical and empirical aspects of the mean exit time 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 scaling law and it has 
associated a pre-factor which is specific to the analyzed stock.  We 
perform a series of statistical 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 a two-state and a 
three-state Markov chain models.  The analytical results obtained with 
the two-state Markov chain model indicate the possibility of obtaining 
a data collapse of the measured MET profiles in a single master curve.