We briefly 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.

SPAGNOLO B, VALENTI D (2008). Volatility Effects on the Escape Time in Financial Market Models. INTERNATIONAL JOURNAL OF BIFURCATION AND CHAOS IN APPLIED SCIENCES AND ENGINEERING, 18(9), 2775-2786.

Volatility Effects on the Escape Time in Financial Market Models

SPAGNOLO, Bernardo;VALENTI, Davide
2008-01-01

Abstract

We briefly 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.
2008
Settore FIS/07 - Fisica Applicata(Beni Culturali, Ambientali, Biol.e Medicin)
SPAGNOLO B, VALENTI D (2008). Volatility Effects on the Escape Time in Financial Market Models. INTERNATIONAL JOURNAL OF BIFURCATION AND CHAOS IN APPLIED SCIENCES AND ENGINEERING, 18(9), 2775-2786.
File in questo prodotto:
File Dimensione Formato  
IJBC_18_2775_2008.pdf

accesso aperto

Descrizione: Articolo completo
Dimensione 532.2 kB
Formato Adobe PDF
532.2 kB Adobe PDF Visualizza/Apri

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10447/12837
Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus 99
  • ???jsp.display-item.citation.isi??? 95
social impact