140 citations · 649 across the 11 of their papers we have counts for
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q-fin.ST2013★ 25 cited
Modeling record-breaking stock prices
Gregor Wergen
We study the statistics of record-breaking events in daily stock prices of 366 stocks from the Standard and Poors 500 stock index. Both the record events in the daily stock prices…
q-fin.ST2011★ 82 cited
Record statistics for biased random walks, with an application to financial data
Gregor Wergen, Miro Bogner, Joachim Krug
We consider the occurrence of record-breaking events in random walks with asymmetric jump distributions. The statistics of records in symmetric random walks was previously analyzed…