dorsal/arxiv
View SchemaScaling and data collapse for the mean exit time of asset prices
| Authors | Miquel Montero, Josep Perello, Jaume Masoliver, Fabrizio Lillo, Salvatore Micciche, Rosario N. Mantegna |
|---|---|
| Categories | |
| ArXiv ID | physics/0507054 |
| URL | https://arxiv.org/abs/physics/0507054 |
| DOI | 10.1103/PhysRevE.72.056101 |
| Journal | PHYSICAL REVIEW E 72, 056101 (2005) |
Abstract
We study theoretical and empirical aspects of the mean exit time of financial time series. The theoretical modeling is done within the framework of continuous time random walk. We empirically verify that the mean exit time follows a quadratic scaling law and it has associated a pre-factor which is specific to the analyzed stock. We perform a series of statistical tests to determine which kind of correlation are responsible for this specificity. The main contribution is associated with the autocorrelation property of stock returns. We introduce and solve analytically both a two-state and a three-state Markov chain models. The analytical results obtained with the two-state Markov chain model allows us to obtain a data collapse of the 20 measured MET profiles in a single master curve.
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"abstract": "We study theoretical and empirical aspects of the mean exit time of financial\ntime series. The theoretical modeling is done within the framework of\ncontinuous time random walk. We empirically verify that the mean exit time\nfollows a quadratic scaling law and it has associated a pre-factor which is\nspecific to the analyzed stock. We perform a series of statistical tests to\ndetermine which kind of correlation are responsible for this specificity. The\nmain contribution is associated with the autocorrelation property of stock\nreturns. We introduce and solve analytically both a two-state and a three-state\nMarkov chain models. The analytical results obtained with the two-state Markov\nchain model allows us to obtain a data collapse of the 20 measured MET profiles\nin a single master curve.",
"arxiv_id": "physics/0507054",
"authors": [
"Miquel Montero",
"Josep Perello",
"Jaume Masoliver",
"Fabrizio Lillo",
"Salvatore Micciche",
"Rosario N. Mantegna"
],
"categories": [
"physics.soc-ph",
"q-fin.ST"
],
"doi": "10.1103/PhysRevE.72.056101",
"journal_ref": "PHYSICAL REVIEW E 72, 056101 (2005)",
"title": "Scaling and data collapse for the mean exit time of asset prices",
"url": "https://arxiv.org/abs/physics/0507054"
},
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