Extreme times in financial markets

TL;DR

This paper applies continuous time random walk theory to analyze extreme events in financial markets, focusing on mean exit and first-passage times, and evaluates these metrics using real financial data.

Contribution

It introduces a framework for calculating extreme times in financial markets using continuous time random walks and provides empirical evaluations with actual data.

Findings

Mean exit time calculated for real financial data

Framework for analyzing extreme times in markets

Application of continuous time random walk theory to finance

Abstract

We apply the theory of continuous time random walks to study some aspects of the extreme value problem applied to financial time series. We focus our attention on extreme times, specifically the mean exit time and the mean first-passage time. We set the general equations for these extremes and evaluate the mean exit time for actual data.