Autor:	Kitt, Robert, Sakki, Maksim, Kalda, Jaan
Rok vydání:	2008
Předmět:	Quantitative Finance - Statistical Finance
Zdroj:	Physica A 388 (2009) 4838-4844
Druh dokumentu:	Working Paper
DOI:	10.1016/j.physa.2009.07.027
Popis:	Based on empirical financial time-series, we show that the "silence-breaking" probability follows a super-universal power law: the probability of observing a large movement is inversely proportional to the length of the on-going low-variability period. Such a scaling law has been previously predicted theoretically [R. Kitt, J. Kalda, Physica A 353 (2005) 480], assuming that the length-distribution of the low-variability periods follows a multiscaling power law. Comment: 8 pages, 5 figures
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/0812.4455 Zobrazit plný text záznamu View this record from Arxiv