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dc.contributor.authorPoliti, M.
dc.contributor.authorMillot, N.
dc.contributor.authorChakraborti, A.
dc.date.accessioned2017-02-21T08:18:20Z
dc.date.available2017-02-21T08:18:20Z
dc.date.issued2012-12-31
dc.identifier.issn0378-4371
dc.identifier.urihttp://hdl.handle.net/20.500.11824/568
dc.description.abstractThe extreme event statistics plays a very important role in the theory and practice of time series analysis. The reassembly of classical theoretical results is often undermined by non-stationarity and dependence between increments. Furthermore, the convergence to the limit distributions can be slow, requiring a huge amount of records to obtain significant statistics, and thus limiting its practical applications. Focussing, instead, on the closely related density of "near-extremes"the distance between a record and the maximal valuecan render the statistical methods to be more suitable in the practical applications and/or validations of models. We apply this recently proposed method in the empirical validation of an adapted financial market model of the intraday market fluctuations.
dc.formatapplication/pdf
dc.language.isoengen_US
dc.rightsReconocimiento-NoComercial-CompartirIgual 3.0 Españaen_US
dc.rights.urihttp://creativecommons.org/licenses/by-nc-sa/3.0/es/en_US
dc.subjectExtreme events
dc.subjectIntraday returns
dc.titleThe near-extreme density of intraday log-returns
dc.typeinfo:eu-repo/semantics/articleen_US
dc.identifier.doi10.1016/j.physa.2011.05.029
dc.relation.publisherversionhttps://www.scopus.com/inward/record.uri?eid=2-s2.0-80054039212&doi=10.1016%2fj.physa.2011.05.029&partnerID=40&md5=fd8819e7d0c1569e03d7d5bdd3e0ef67
dc.rights.accessRightsinfo:eu-repo/semantics/openAccessen_US
dc.type.hasVersioninfo:eu-repo/semantics/publishedVersionen_US
dc.journal.titlePhysica A: Statistical Mechanics and its Applicationsen_US


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Reconocimiento-NoComercial-CompartirIgual 3.0 España
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