Probability of Large Movements in Financial Markets
Based on empirical financial time-series, we show that the "silence-breaking" probability follows a super-universal power law: the probability of observing a large movement is inversely proportional to the length of the on-going low-variability period. Such a scaling law has been previously predicted theoretically [R. Kitt, J. Kalda, Physica A 353 (2005) 480], assuming that the length-distribution of the low-variability periods follows a multiscaling power law.
Year of publication: |
2008-12
|
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Authors: | Kitt, Robert ; Sakki, Maksim ; Kalda, Jaan |
Institutions: | arXiv.org |
Saved in:
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