Modeling record-breaking stock prices

DOI10.1016/j.physa.2013.11.001zbMath1402.91970arXiv1307.2048OpenAlexW2011259234MaRDI QIDQ1782591

Gregor Wergen

Publication date: 20 September 2018

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1307.2048

zbMATH Keywords

random walksautoregressive processesrecord statisticsextreme value statisticsextreme events in financial marketsGARCH-models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; risk measures (91G70) Statistics of extreme values; tail inference (62G32) Financial applications of other theories (91G80)

Related Items

Distribution-free inference in record series ⋮ Interval estimation for proportional reversed hazard family based on lower record values ⋮ Sharper asset ranking from total drawdown durations ⋮ Exact and asymptotic properties of δ-records in the linear drift model

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• ARCH modeling in finance. A review of the theory and empirical evidence
• Generalized autoregressive conditional heteroscedasticity
• A result on the first-passage time of an Ornstein-Uhlenbeck process
• Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
• A Guide to First-Passage Processes
• Records in stochastic processes—theory and applications
• Record statistics and persistence for a random walk with a drift
• Universal Record Statistics of Random Walks and Lévy Flights
• THE GARCH OPTION PRICING MODEL
• On the First Passage Time of an Autoregressive Process over a Level and an Application to a “Disorder” Problem
• Records and sequences of records from random variables with a linear trend
• On Distributions of First Passage Times and Optimal Stopping of AR(1) Sequences
• Records in the presence of a linear trend
• Financial Modelling with Jump Processes
• THE PROBABLE ERROR OF A MEAN
• Evolution of Athletic Records: Statistical Effects versus Real Improvements
• Theory of Financial Risk and Derivative Pricing
• Introduction to Econophysics
• Central limit theorems for the number of records in discrete models
• Representations of the First Hitting Time Density of an Ornstein-Uhlenbeck Process¹
• On the fluctuations of sums of random variables