CM ICTP - Trieste
cm at ictp.it
Mon Jun 12 15:09:41 CEST 2006
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 "
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.
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