Probability of large movements in financial markets |
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Authors: | Robert Kitt,Maksim Sä kki,Jaan Kalda |
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Affiliation: | Department of Mechanics and Applied Mathematics, Institute of Cybernetics at Tallinn, University of Technology, 12061, Tallinn, Estonia |
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Abstract: | 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 multi-scaling power law. |
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Keywords: | 89.65.Gh 89.75.Da 05.40.Fb 05.45.Tp |
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