{
  "annotation_id": "1e8fe5fa-bef2-4ae7-acb3-26819ff852f7",
  "date_created": "2026-03-02T18:01:11.509000Z",
  "date_modified": "2026-03-02T18:01:11.509000Z",
  "file_hash": "f0f4a0c2d6fc04592718f4b00ee1c396b7e2a961272bf9140f4999a9f13ba8c4",
  "private": false,
  "record": {
    "abstract": "We analyze the hitting time distributions of stock price returns in different\ntime windows, characterized by different levels of noise present in the market.\nThe study has been performed on two sets of data from US markets. The first one\nis composed by daily price of 1071 stocks trade for the 12-year period\n1987-1998, the second one is composed by high frequency data for 100 stocks for\nthe 4-year period 1995-1998. We compare the probability distribution obtained\nby our empirical analysis with those obtained from different models for stock\nmarket evolution. Specifically by focusing on the statistical properties of the\nhitting times to reach a barrier or a given threshold, we compare the\nprobability density function (PDF) of three models, namely the geometric\nBrownian motion, the GARCH model and the Heston model with that obtained from\nreal market data. We will present also some results of a generalized Heston\nmodel.",
    "arxiv_id": "physics/0608201",
    "authors": [
      "Davide Valenti",
      "Bernardo Spagnolo",
      "Giovanni Bonanno"
    ],
    "categories": [
      "physics.soc-ph",
      "physics.data-an",
      "q-fin.ST"
    ],
    "doi": "10.1016/j.physa.2007.03.044",
    "title": "Hitting Time Distributions in Financial Markets",
    "url": "https://arxiv.org/abs/physics/0608201"
  },
  "schema_id": "dorsal/arxiv",
  "source": {
    "execution_id": "0cd49dd8-4d87-4340-b640-bbbcaca23b92",
    "id": "arXiv Dataset IDs",
    "type": "Model",
    "variant": "snapshot-2026-03-01",
    "version": "0.1.0"
  },
  "user_id": 1000002
}