Scaling and data collapse for the mean exit time of asset prices

Physical Review E - Statistical, Nonlinear, and Soft Matter Physics

Volumn 72, Issue 5, 2005, Pages

  Montero, Miquel ^a   Perelló, Josep ^a   Masoliver, Jaume ^a   Lillo, Fabrizio ^b,c,d   Miccichè, Salvatore ^b,c   Mantegna, Rosario N ^b,c  

^a UNIVERSITY OF BARCELONA   (Spain)

^b UNIVERSITY OF PALERMO   (Italy)

^c INFM   (Italy)

^d SANTA FE INSTITUTE   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

AUTOCORRELATION PROPERTY; MARKOV CHAIN MODEL; MEAN EXIT TIME (MET); MET PROFILES;

COSTS; DATA ACQUISITION; MARKOV PROCESSES; PROBLEM SOLVING; STATISTICAL METHODS; TIME SERIES ANALYSIS;

FINANCE;

EID: 28844461719     PISSN: 15393755     EISSN: 15502376     Source Type: Journal    
DOI: 10.1103/PhysRevE.72.056101     Document Type: Article

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