Kitt, Robert; Säkki, Maksim; Kalda, Jaan - In: Physica A: Statistical Mechanics and its Applications 388 (2009) 23, pp. 4838-4844
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...