463 citations · 2.1k across the 15 of their papers we have counts for
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cond-mat.stat-mech2006★ 104 cited
Mean Escape Time in a System with Stochastic Volatility
Giovanni Bonanno, Davide Valenti, Bernardo Spagnolo
We study the mean escape time in a market model with stochastic volatility. The process followed by the volatility is the Cox Ingersoll and Ross process which is widely used to mod…
physics.soc-ph2006★ 105 cited
Hitting Time Distributions in Financial Markets
Davide Valenti, Bernardo Spagnolo, Giovanni Bonanno
We analyze the hitting time distributions of stock price returns in different time windows, characterized by different levels of noise present in the market. The study has been per…