VOLATILITY EFFECTS ON THE ESCAPE TIME IN FINANCIAL MARKET MODELS
From MaRDI portal
Publication:3619056
Abstract: We shortly review the statistical properties of the escape times, or hitting times, for stock price returns by using different models which describe the stock market evolution. We compare the probability function (PF) of these escape times with that obtained from real market data. Afterwards we analyze in detail the effect both of noise and different initial conditions on the escape time in a market model with stochastic volatility and a cubic nonlinearity. For this model we compare the PF of the stock price returns, the PF of the volatility and the return correlation with the same statistical characteristics obtained from real market data.
Recommendations
Cites work
- scientific article; zbMATH DE number 1517499 (Why is no real title available?)
- scientific article; zbMATH DE number 1869203 (Why is no real title available?)
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- An introduction to statistical finance
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Comparison between the probability distribution of returns in the Heston model and empirical data for stock indexes
- Effects of economic interactions on credit risk
- Generalized autoregressive conditional heteroscedasticity
- Introduction to Econophysics
- Role of noise in a market model with stochastic volatility
- Suppression of noise in Fitzhugh-Nagumo model driven by a strong periodic signal
- The pricing of options and corporate liabilities
- Volatility in financial markets: Stochastic models and empirical results
- Waiting-times and returns in high-frequency financial data: An empirical study
Cited in
(52)- Collective resonant behaviors in two coupled fluctuating-mass oscillators with tempered Mittag-Leffler memory kernel
- Nonlinear complexity and chaotic behaviors on finite-range stochastic epidemic financial dynamics
- The stochastic incentive effect of venture capital in partnership systems with the asymmetric bistable Cobb-Douglas utility
- Coherence resonance-like and efficiency of financial market
- Nonlinear analysis of memcapacitor-based hyperchaotic oscillator by using adaptive multi-step differential transform method
- Monitoring Lévy-process crossovers
- Nonlinear analysis and minimum \(\mathrm{L}_2\)-norm control in memcapacitor-based hyperchaotic system via online particle swarm optimization
- Optimal consumption-portfolio problem with CVaR constraints
- Stability of the stochastic model for power markets with interval parameters
- Ergodic property, extinction and density function of a stochastic SIR epidemic model with nonlinear incidence and general stochastic perturbations
- Roles of capital flow on the stability of a market system
- The roles of mean residence time on herd behavior in a financial market
- Random diffusivity models for scaled Brownian motion
- Modeling market impact and timing risk in volume time
- The returns and risks of investment portfolio in a financial market
- A simple fractional-order chaotic system based on memristor and memcapacitor and its synchronization application
- Option pricing and hedging for optimized Lévy driven stochastic volatility models
- The stochastic P-bifurcation analysis of the impact system via the most probable response
- Multiple stochastic and inverse stochastic resonances with transition phenomena in complex corporate financial systems
- Bifurcations in a Time-Delayed Birhythmic Biological System with Fractional Derivative and Lévy Noise
- A novel method to simulate the 3D chlorophyll distribution in marine oligotrophic waters
- An equivalent analytical method to deal with cross-correlated exponential type noises in the nonlinear dynamic system
- The risks and returns of stock investment in a financial market
- Stability of financial market driven by information delay and liquidity in delay agent-based model
- Modeling of sensory characteristics based on the growth of food spoilage bacteria
- The roles of extrinsic periodic information on the stability of stock price
- The stochastic resonance for the incidence function model of metapopulation
- On a nonlinear non-autonomous ratio-dependent food chain model with delays and feedback controls
- Dynamic forecasting performance and liquidity evaluation of financial market by econophysics and Bayesian methods
- An HIV latent infection model with cell-to-cell transmission and stochastic perturbation
- Fluctuations-induced regime shifts in the endogenous credit system with time delay
- Noise and delay enhanced stability in tumor-immune responses to chemotherapy system
- Stochastic effects on an HIV/AIDS infection model with incomplete diagnosis
- Multiple sawtooth-shape current reversals of traveling wave system
- Noise induced phenomena in the dynamics of two competing species
- Explicit formula for the valuation of catastrophe put option with exponential jump and default risk
- Approximate-analytical solution to the information measure's based quanto option pricing model
- Dynamic behaviors and measurements of financial market crash rate
- A simple and fast method for valuing American knock-out options with rebates
- Stochastic bifurcation for two-time-scale dynamical system with \(\alpha \)-stable Lévy noise
- Forecasting price of financial market crash via a new nonlinear potential GARCH model
- Characterising stochastic motion in heterogeneous media driven by coloured non-Gaussian noise
- Forecasting the crude oil prices based on econophysics and Bayesian approach
- Valuation of lookback option under uncertain volatility model
- A novel stochastic resonance model based on bistable stochastic pooling network and its application
- Dynamics of stochastic predator-prey systems with continuous time delay
- Editorial: ecological complex systems
- New trends in nonequilibrium statistical mechanics: classical and quantum systems
- Role of noise in a market model with stochastic volatility
- Nonlinear analysis and chaos synchronization of a memristive-based chaotic system using adaptive control technique in noisy environments
- Lévy noise-induced transition and stochastic resonance in a tumor growth model
- Dynamic risk resonance between crude oil and stock market by econophysics and machine learning
This page was built for publication: VOLATILITY EFFECTS ON THE ESCAPE TIME IN FINANCIAL MARKET MODELS
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3619056)
