IDEAS home Printed from https://ideas.repec.org/a/eee/phsmap/v382y2007i1p311-320.html
   My bibliography  Save this article

Hitting time distributions in financial markets

Author

Listed:
  • Valenti, Davide
  • Spagnolo, Bernardo
  • Bonanno, Giovanni

Abstract

We analyze the hitting time distributions of stock price returns in different time windows, characterized by different levels of noise present in the market. The study has been performed on two sets of data from US markets. The first one is composed by daily price of 1071 stocks trade for the 12-year period 1987–1998, the second one is composed by high frequency data for 100 stocks for the 4-year period 1995–1998. We compare the probability distribution obtained by our empirical analysis with those obtained from different models for stock market evolution. Specifically by focusing on the statistical properties of the hitting times to reach a barrier or a given threshold, we compare the probability density function (PDF) of three models, namely the geometric Brownian motion, the GARCH model and the Heston model with that obtained from real market data. We will present also some results of a generalized Heston model.

Suggested Citation

  • Valenti, Davide & Spagnolo, Bernardo & Bonanno, Giovanni, 2007. "Hitting time distributions in financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 382(1), pages 311-320.
    • Handle: RePEc:eee:phsmap:v:382:y:2007:i:1:p:311-320
    DOI: 10.1016/j.physa.2007.03.044
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0378437107003299
    Download Restriction: Full text for ScienceDirect subscribers only. Journal offers the option of making the article available online on Science direct for a fee of $3,000
    File URL: https://libkey.io/10.1016/j.physa.2007.03.044?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:phsmap:v:382:y:2007:i:1:p:311-320. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.