NDLI: Mean exit time and survival probability within the CTRW formalism

Content Provider	Springer Nature Link
Author	Montero, M. Masoliver, J.
Copyright Year	2007
Abstract	An intense research on financial market microstructure is presently in progress. Continuous time random walks (CTRWs) are general models capable to capture the small-scale properties that high frequency data series show. The use of CTRW models in the analysis of financial problems is quite recent and their potentials have not been fully developed. Here we present two (closely related) applications of great interest in risk control. In the first place, we will review the problem of modelling the behaviour of the mean exit time (MET) of a process out of a given region of fixed size. The surveyed stochastic processes are the cumulative returns of asset prices. The link between the value of the MET and the timescale of the market fluctuations of a certain degree is crystal clear. In this sense, MET value may help, for instance, in deciding the optimal time horizon for the investment. The MET is, however, one among the statistics of a distribution of bigger interest: the survival probability (SP), the likelihood that after some lapse of time a process remains inside the given region without having crossed its boundaries. The final part of the manuscript is devoted to the study of this quantity. Note that the use of SPs may outperform the standard “Value at Risk" (VaR) method for two reasons: we can consider other market dynamics than the limited Wiener process and, even in this case, a risk level derived from the SP will ensure (within the desired quintile) that the quoted value of the portfolio will not leave the safety zone. We present some preliminary theoretical and applied results concerning this topic.
Starting Page	181
Ending Page	185
Page Count	5
File Format	PDF
ISSN	14346028
Journal	The European Physical Journal B
Volume Number	57
Issue Number	2
e-ISSN	14346036
Language	English
Publisher	EDP Sciences
Publisher Date	2007-05-16
Publisher Place	Les Ulis
Access Restriction	One Nation One Subscription (ONOS)
Subject Keyword	Condensed Matter Physics Complexity Fluids Solid State Physics and Spectroscopy Superconductivity, Superfluidity, Quantum Fluids
Content Type	Text
Resource Type	Article
Subject	Electronic, Optical and Magnetic Materials Condensed Matter Physics

Sl.	Authority	Responsibilities	Communication Details
1	Ministry of Education (GoI), Department of Higher Education	Sanctioning Authority	https://www.education.gov.in/ict-initiatives
2	Indian Institute of Technology Kharagpur	Host Institute of the Project: The host institute of the project is responsible for providing infrastructure support and hosting the project	https://www.iitkgp.ac.in
3	National Digital Library of India Office, Indian Institute of Technology Kharagpur	The administrative and infrastructural headquarters of the project	Dr. B. Sutradhar bsutra@ndl.gov.in
4	Project PI / Joint PI	Principal Investigator and Joint Principal Investigators of the project	Dr. B. Sutradhar bsutra@ndl.gov.in Prof. Saswat Chakrabarti will be added soon
5	Website/Portal (Helpdesk)	Queries regarding NDLI and its services	support@ndl.gov.in
6	Contents and Copyright Issues	Queries related to content curation and copyright issues	content@ndl.gov.in
7	National Digital Library of India Club (NDLI Club)	Queries related to NDLI Club formation, support, user awareness program, seminar/symposium, collaboration, social media, promotion, and outreach	clubsupport@ndl.gov.in
8	Digital Preservation Centre (DPC)	Assistance with digitizing and archiving copyright-free printed books	dpc@ndl.gov.in
9	IDR Setup or Support	Queries related to establishment and support of Institutional Digital Repository (IDR) and IDR workshops	idr@ndl.gov.in

On the mean-field spin glass transition

Dynamical mean field study of the Dirac liquid

Space-time dispersion of graphene conductivity

Mean-free path effects in magnetoresistance of ferromagnetic nanocontacts

Construction of localized basis for dynamical mean field theory

Microscopic noise, adaptation and survival in hostile environments

Rashba billiards

Reciprocating nanoengine

Are all highly liquid securities within the same class?

Mean exit time and survival probability within the CTRW formalism

Similar Documents

On the mean-field spin glass transition

Dynamical mean field study of the Dirac liquid

Space-time dispersion of graphene conductivity

Mean-free path effects in magnetoresistance of ferromagnetic nanocontacts

Construction of localized basis for dynamical mean field theory

Microscopic noise, adaptation and survival in hostile environments

Rashba billiards

Reciprocating nanoengine

Are all highly liquid securities within the same class?

Mean exit time and survival probability within the CTRW formalism