Probability of Large Movements in Financial Markets
نویسندگان
چکیده
Based on empirical financial time-series, we show that the ”silence-breaking” probability follows a super-universal power law: the probability of observing a large movement is inversely proportional to the length of the ongoing low-variability period. Such a scaling law has been previously predicted theoretically [1], assuming that the length-distribution of the low-variability periods follows a multiscaling power law.
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تاریخ انتشار 2008