The high order dispersion analysis based on first-passage-time probability in financial markets

DOI10.1016/j.physa.2016.11.045zbMath1400.91685OpenAlexW2555375094MaRDI QIDQ1620445

Pengjian Shang, Chenggong Liu, Guo-Chen Feng

Publication date: 13 November 2018

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2016.11.045

zbMATH Keywords

financial time seriesfirst-passage-time (FPT) probabilityhigh order dispersion (HOD)multifractal detrended fluctuation analysis (MF-DFA)

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Economic time series analysis (91B84) Financial applications of other theories (91G80)

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• Efficient Estimation of First Passage Time Density Function for Jump-Diffusion Processes
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