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• W2015604845 abstract "Starting from a robust, nonparametric definition of large returns (``excursions''), we study the statistics of their occurrences, focusing on the recurrence process. The empirical waiting-time distribution between excursions is remarkably invariant to year, stock, and scale (return interval). This invariance is related to self-similarity of the marginal distributions of returns, but the excursion waiting-time distribution is a function of the entire return process and not just its univariate probabilities. Generalized autoregressive conditional heteroskedasticity (GARCH) models, market-time transformations based on volume or trades, and generalized (L'evy) random-walk models all fail to fit the statistical structure of excursions." @default.
• W2015604845 created "2016-06-24" @default.
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• W2015604845 date "2013-08-09" @default.
• W2015604845 modified "2023-10-17" @default.
• W2015604845 title "Invariance in the recurrence of large returns and the validation of models of price dynamics" @default.
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• W2015604845 doi "https://doi.org/10.1103/physreve.88.022116" @default.
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