Aging in Financial Market
物理与社会
2015-06-26 v1 统计金融
摘要
We analyze the data of the Italian and U.S. futures on the stock markets and we test the validity of the Continuous Time Random Walk assumption for the survival probability of the returns time series via a renewal aging experiment. We also study the survival probability of returns sign and apply a coarse graining procedure to reveal the renewal aspects of the process underlying its dynamics.
关键词
引用
@article{arxiv.physics/0606057,
title = {Aging in Financial Market},
author = {Simone Bianco and Paolo Grigolini},
journal= {arXiv preprint arXiv:physics/0606057},
year = {2015}
}
备注
To appear in special issue of Chaos, Solitons and Fractals