Aging in financial market

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Article discussing aging in the financial market.

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15 p.: ill.

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Bianco, Simone & Grigolini, Paolo February 2, 2008.

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This article is part of the collection entitled: UNT Scholarly Works and was provided by UNT College of Arts and Sciences to Digital Library, a digital repository hosted by the UNT Libraries. It has been viewed 71 times . More information about this article can be viewed below.

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  • Bianco, Simone University of North Texas
  • Grigolini, Paolo University of North Texas; Istituto dei Processi Chimico Fisici del Consiglio Nazionale delle Ricerche

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Description

Article discussing aging in the financial market.

Physical Description

15 p.: ill.

Notes

This is the preprint version of the article. Reprinted with permission from Elsevier Science Ltd., all rights reserved. The final definitive version is available here: http://dx.doi.org/10.1016/j.chaos.2007.01.048

Abstract: We analyze the data of the Italian and U.S. 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.

Source

  • Chaos, Solitons and Fractals, 2007, New York: Elsevier Science Ltd., pp. 41-50

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  • Publication Title: Chaos, Solitons and Fractals
  • Volume: 34
  • Issue: 1
  • Page Start: 41
  • Page End: 50

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UNT Scholarly Works

Materials from the UNT community's research, creative, and scholarly activities and UNT's Open Access Repository. Access to some items in this collection may be restricted.

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Creation Date

  • February 2, 2008

Added to The UNT Digital Library

  • July 24, 2013, 1:20 p.m.

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  • April 1, 2015, 1:30 p.m.

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Bianco, Simone & Grigolini, Paolo. Aging in financial market, article, February 2, 2008; [New York, New York]. (digital.library.unt.edu/ark:/67531/metadc174703/: accessed November 21, 2017), University of North Texas Libraries, Digital Library, digital.library.unt.edu; crediting UNT College of Arts and Sciences.