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Nonlinear Memory and Risk Estimation in Financial Records
[chapter]
2010
Econophysics Approaches to Large-Scale Business Data and Financial Crisis
It is well known that financial data sets are multifractal and governed by nonlinear correlations. Here we are interested in the daily returns of a financial asset and in the way the occurrence of large gains or losses is triggered by the nonlinear memory. To this end, we study the statistics of the return intervals between gains (or losses) above a certain threshold Q. In the case of i.i.d. random numbers the probability density function (pdf) of the return intervals decays exponentially and
doi:10.1007/978-4-431-53853-0_2
fatcat:bl6odbjvtrfqjg5q6tk2ooujdu