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 performed on two sets of data from US markets. The first one is composed by daily price of 1071 stocks trade for the...

We investigate the escape of a Brownian particle from fluctuating metastable states. We find the conditions for the noise enhanced stability (NES) effect for periodical driving force. We obtain general equations useful to calculate the average escape time for randomly switching potential...

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 model stock price fluctuations. The market model can be considered as a generalization of the Heston model, where the...

We shortly review the statistical properties of the escape times, or hitting times, for stock price returns by using different models which describe the stock market evolution. We compare the probability function (PF) of these escape times with that obtained from real market data. Afterwards we...

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 performed on two sets of data from US markets. The first one is composed by daily price of 1071 stocks trade for the...

We derive the stationary probability density for nonlinear dynamical system driven by white Gaussian noise and Markovian dichotomous noise. General results are applied to analysis of Brownian motion in two switching piece-wise linear potential profiles, namely in a rectangular potential well and...

We show that a stochastic process on a complex plane can simulate decay from a metastable state. The simplest application of the method to a model in which the approach to equilibrium occurs through transitions over a potential barrier is discussed. The results are compared with direct numerical...