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Extreme times in financial markets

Jaume Masoliver·Miquel Montero·Josep Perello
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Abstract

We apply the theory of continuous time random walks to study some aspects of the extreme value problem applied to financial time series. We focus our attention on extreme times, specifically the mean exit time and the mean first-passage time. We set the general equations for these extremes and evaluate the mean exit time for actual data.

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Jaume Masoliver, Miquel Montero, Josep Perello. 2004-06-23. Extreme times in financial markets. https://doi.org/10.1103/physreve.71.056130

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