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SOE: Fachverband Physik sozio-ökonomischer Systeme

SOE 18: Financial Markets and Risk Management I

SOE 18.2: Talk

Thursday, March 17, 2011, 10:30–10:45, GÖR 226

Record statistics in financial data — •Gregor Wergen, Miro Bogner, and Joachim Krug — Institut für Theoretische Physik, Universität zu Köln

We consider the occurrence of record-breaking events in asymmetric random walks and compare our results to financial data from the Standard and Poors index. Making use of the Sparre Andersen Theorem we analyze the first-passage probabilities of asymmetric random walks and give some new analytical results on the record statistics of such processes. Most importantly we can quantify the effect of a linear drift in the random walk on the occurrence of records. Our model allows us to explain the statistics of upper records in the daily stock data. However, we find that the number of lower records in the stock prices is significantly decreased. We tentatively explain this effect by performing a detailed analysis of the persistence properties of the stock prices.