Title of article :
Aging in financial market
Author/Authors :
Simone Bianco، نويسنده , , Paolo Grigolini، نويسنده ,
Issue Information :
دوهفته نامه با شماره پیاپی سال 2007
Abstract :
We analyze the data of the Italian and US futures on the stock markets and we test the validity of the continuous time random walk assumption for the survival probability of the returns time series via a renewal aging experiment. We also study the survival probability of returns sign and apply a coarse graining procedure to reveal the renewal aspects of the process underlying its dynamics.
Journal title :
Chaos, Solitons and Fractals
Journal title :
Chaos, Solitons and Fractals