Hitting time distributions in financial markets

Physica A: Statistical Mechanics and its Applications

Volumn 382, Issue 1, 2007, Pages 311-320

  Valenti, Davide ^a   Spagnolo, Bernardo ^a   Bonanno, Giovanni ^a  

^a UNIVERSITY OF PALERMO   (Italy)

Author keywords

Complex systems; Econophysics; Heston model; Langevin type equation; Stock market model

Indexed keywords

COSTS; DATA ACQUISITION; LARGE SCALE SYSTEMS; PROBABILITY DENSITY FUNCTION; STATISTICAL METHODS;

EMPIRICAL ANALYSIS; GEOMETRIC BROWNIAN MOTION; STOCK MARKET MODEL; TIME DISTRIBUTIONS;

FINANCIAL DATA PROCESSING;

EID: 34249785928     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2007.03.044     Document Type: Article

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