{
  "annotation_id": "6f57ab93-c0cc-495a-86b7-67c130d38771",
  "date_created": "2026-03-02T18:01:10.862000Z",
  "date_modified": "2026-03-02T18:01:10.862000Z",
  "file_hash": "bb08aa568048b3198d3088cc5287310ca2bcf04ae4e8858a628a29c3c2a9e177",
  "private": false,
  "record": {
    "abstract": "We present a detailed study on the mean first-passage time of volatility\nprocesses. We analyze the theoretical expressions based on the most common\nstochastic volatility models along with empirical results extracted from daily\ndata of major financial indices. We find in all these data sets a very similar\nbehavior that is far from being that of a simple Wiener process. It seems\nnecessary to include a framework like the one provided by stochastic volatility\nmodels with a reverting force driving volatility toward its normal level to\ntake into account memory and clustering effects in volatility dynamics. We also\ndetect in data a very different behavior in the mean first-passage time\ndepending whether the level is higher or lower than the normal level of\nvolatility. For this reason, we discuss asymptotic approximations and confront\nthem to empirical results with a good agreement, specially with the ExpOU\nmodel.",
    "arxiv_id": "physics/0609136",
    "authors": [
      "Jaume Masoliver",
      "Josep Perello"
    ],
    "categories": [
      "physics.soc-ph",
      "physics.comp-ph",
      "q-fin.ST"
    ],
    "doi": "10.1103/PhysRevE.75.046110",
    "journal_ref": "Physical Review E 75 (2007) 046110",
    "title": "Extreme times for volatility processes",
    "url": "https://arxiv.org/abs/physics/0609136"
  },
  "schema_id": "dorsal/arxiv",
  "source": {
    "execution_id": "5057f76f-c5d1-428b-9bb7-0e4d09e8344b",
    "id": "arXiv Dataset IDs",
    "type": "Model",
    "variant": "snapshot-2026-03-01",
    "version": "0.1.0"
  },
  "user_id": 1000002
}