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 probability density function (PDF) of three models, namely the geometric Brownian motion, the GARCH model and the Heston model with that obtained from real market data. We will present also some results of a generalized Heston model.

VALENTI D, SPAGNOLO B, BONANNO G (2007). Hitting time distribution in financial markets. PHYSICA. A, 382, 311-320 [10.1016/j.physa.2007.03.044].

Hitting time distribution in financial markets

VALENTI, Davide;SPAGNOLO, Bernardo;BONANNO, Giovanni
2007-01-01

Abstract

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 probability density function (PDF) of three models, namely the geometric Brownian motion, the GARCH model and the Heston model with that obtained from real market data. We will present also some results of a generalized Heston model.
Settore FIS/07 - Fisica Applicata(Beni Culturali, Ambientali, Biol.e Medicin)
VALENTI D, SPAGNOLO B, BONANNO G (2007). Hitting time distribution in financial markets. PHYSICA. A, 382, 311-320 [10.1016/j.physa.2007.03.044].
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10447/8753
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