Zhou, Wei-Xing; Yuan, Wei-Kang - In: Physica A: Statistical Mechanics and its Applications 353 (2005) C, pp. 433-444
times τρ, defined as the waiting time needed to obtain a certain increase ρ in the price, follows a power law p … all over the world. Our analysis confirms that the power-law distribution of exit times with an exponent of about α=1.5 is … universal for all the data sets analyzed. In addition, all data sets show that the power-law scaling in the optimal investment …