Narrow Results

We study the statistical properties of escape times for stock price returns in the Wall Street market. In particular we get the escape time distribution for real data from daily transactions and for three models: (i) the Wiener process with drift and a constant market volatility, (ii) Heston and (iii) GARCH models, where the volatility is a stochastic process. We find that the first model is unable to catch all the features of the escape time distribution of real data. Moreover, the Heston model describes the probability density function for both return and escape times better than the GARCH model.

The average avalanche size can be calculated exactly in a number of models of self-organized criticality (SOC). While the calculation is straight-forward in one dimension, it is more involved in higher dimensions and further complicated by the presence of different boundary conditions and different forms of external driving. Amplitudes of the leading order are determined analytically and evaluated to obtain analytical references for numerical work. A subtle link exists between the procedure to calculate the average avalanche size and the field theory of SOC.