39 citations · 69 across the 2 of their papers we have counts for
2 papers
physics.soc-ph2005★ 39 cited
Scaling and data collapse for the mean exit time of asset prices
Miquel Montero, Josep Perello, Jaume Masoliver +3
We study theoretical and empirical aspects of the mean exit time of financial time series. The theoretical modeling is done within the framework of continuous time random walk. We…
cond-mat.stat-mech2000★ 30 cited
A dynamical model describing stock market price distributions
Jaume Masoliver, Miquel Montero, Josep M. Porra
High frequency data in finance have led to a deeper understanding on probability distributions of market prices. Several facts seem to be well stablished by empirical evidence. Spe…