Ataullah, Ali; Davidson, Ian; Tippett, Mark - In: Physica A: Statistical Mechanics and its Applications 388 (2009) 4, pp. 455-461
The instantaneous return on the Financial Times-Stock Exchange (FTSE) All Share Index is viewed as a frictionless particle moving in a one-dimensional square well but where there is a non-trivial probability of the particle tunneling into the well’s retaining walls. Our analysis demonstrates...