Dresden 2014 – wissenschaftliches Programm
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SOE: Fachverband Physik sozio-ökonomischer Systeme
SOE 3: Financial Markets and Risk Management
SOE 3.2: Vortrag
Montag, 31. März 2014, 12:15–12:30, GÖR 226
Universal behavior of the interoccurrence times between losses in finanical markets: Independence of the time resolution — •Josef Ludescher and Armin Bunde — Institut für Theoretische Physik, Universität Gießen, Germany
We consider representative financial records (stocks and indices) on time scales between 1 minute and 1 day and show that the distribution PQ(r) of the interoccurrence times r between losses below a negative threshold −Q, for fixed mean interoccurrence times RQ in units of the corresponding time resolutions, can be described on all time scales by the same q-exponentials, PQ(r)∝ 1/((1+(q−1)β r)1/(q−1)). The parameters q and β depend only on RQ, but not on the specific asset or time resolution. While the q-value increases logarithmically with RQ, q = 1+ q0 ln(RQ/2), β depends only slightly on RQ reaching a plateau for RQ>6. We propose that the analytic form of PQ(r) can be regarded as an additional ’stylized fact’ of the financial markets and represents a nontrivial test for market models. We analyze the distribution PQ(r) as well as the autocorrelation of the interoccurrence times for five market models: MRC, MRW, ARCH, GARCH, FARIMA. Only the multiplicative random walk (MRW) model reproduces the q-Exponential form of PQ(r).