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Aging in financial market

descriptionPublicationkeyboard_double_arrow_right Article , Preprint 01 Oct 2007Embargo end date: 01 Jan 2006 Italy, United States English Publisher:Elsevier BVJournal:Chaos, Solitons & Fractals, volume 34, pages 41-50 (issn: 0960-0779,

Authors: Paolo Grigolini; Paolo Grigolini; Simone Bianco;

doi: 10.1016/j.chaos.2007.01.048 , 10.48550/arxiv.physics/0606057

arXiv: http://arxiv.org/abs/physics/0606057

handle: 20.500.14243/46475

Aging in financial market

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Abstract

We analyze the data of the Italian and U.S. futures on the stock markets and we test the validity of the Continuous Time Random Walk assumption for the survival probability of the returns time series via a renewal aging experiment. We also study the survival probability of returns sign and apply a coarse graining procedure to reveal the renewal aspects of the process underlying its dynamics.

To appear in special issue of Chaos, Solitons and Fractals

Countries

Italy, United States

Related Organizations

Keywords

FOS: Economics and business, Mittag-Leffler function, Physics - Physics and Society, Statistical Finance (q-fin.ST), fractional derivatives, Quantitative Finance - Statistical Finance, FOS: Physical sciences, Physics and Society (physics.soc-ph), continuous-time random walks

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