Financial markets provide an ideal frame for the study of  first-passage time events of non-Gaussian correlated dynamics mainly because large data sets are available. Tick-by-tick data of six futures markets are herein considered resulting in fat tailed first-passage time probabilities. The scaling of the return with the standard deviation collapses the probabilities of all markets considered , and also for different time horizons, into single curves, suggesting that first-passage statistics is market independent (at least for high-frequency data). On the other hand, a very closely related quantity, the survival probability, still shows a hyperbolic t^{-1/2} decay typical of a diffusion-like dynamics . Modifications of the Weibull and Student distributions are good candidates for a phenomenological description of first-passage time properties  . The scaling strategies shown may be useful for risk control and algorithmic trading.
Financial markets provide an ideal frame for the study of crossing or first-passage time events of non-Gaussian correlated dynamics mainly because large data sets are available. Tick-by-tick data of six futures markets are herein considered resulting in fat tailed first-passage time probabilities. The scaling of the return with the standard deviation collapses the probabilities of all markets examined , and also for different time horizons, into single curves, suggesting that first-passage statistics is market independent (at least for high-frequency data). On the other hand, a very closely related quantity, the survival probability, shows, away from the center and tails of the distribution, a hyperbolic t^{-1/2} decay typical of a Markovian dynamics albeit the existence of memory in markets . Modifications of the Weibull and Student distributions are good candidates for the phenomenological description of first-passage time properties under certain regimes . The scaling strategies shown may be useful for risk control and algorithmic trading.
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crossing or
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considered
examined
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still shows
shows, away from the center and tails of the distribution,
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diffusion-like dynamics
Markovian dynamics albeit the existence of memory in markets
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a
the
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under certain regimes