Record statistics for biased random walks, with an application to financial data

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

Volumn 83, Issue 5, 2011, Pages

  Wergen, Gregor ^a   Bogner, Miro ^a   Krug, Joachim ^a  

^a UNIVERSITY OF COLOGNE   (Germany)

Author keywords

[No Author keywords available]

Indexed keywords

ANALYTICAL RESULTS; BIASED RANDOM WALK; FINANCIAL DATA; GAUSSIANS; LARGE N; RANDOM WALK; RECORD STATISTICS; STANDARD DEVIATION; STOCK PRICE;

ASYMPTOTIC ANALYSIS; PROBABILITY DISTRIBUTIONS;

RANDOM PROCESSES;

EID: 79961038411     PISSN: 15393755     EISSN: 15502376     Source Type: Journal    
DOI: 10.1103/PhysRevE.83.051109     Document Type: Article

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