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Abstract: We shortly review the statistical properties of the escape times, or hittingtimes, for stock price returns by using different models which describe thestock market evolution. We compare the probability function PF of theseescape times with that obtained from real market data. Afterwards we analyze indetail the effect both of noise and different initial conditions on the escapetime in a market model with stochastic volatility and a cubic nonlinearity. Forthis model we compare the PF of the stock price returns, the PF of thevolatility and the return correlation with the same statistical characteristicsobtained from real market data.



Autor: Bernardo Spagnolo, Davide Valenti

Fuente: https://arxiv.org/







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