摘要翻译：
我们用描述股票市场演变的不同模型，简要回顾了股票价格收益的逃逸时间或击中时间的统计性质。我们将这些逃逸时间的概率函数(PF)与从实际市场数据中获得的概率函数进行了比较。然后，在一个具有随机波动性和三次非线性的市场模型中，详细分析了噪声和不同初始条件对逃逸时间的影响。在此模型中，我们比较了股票价格收益的PF、波动率的PF以及与实际市场数据具有相同统计特征的收益相关性。
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英文标题：
《Volatility Effects on the Escape Time in Financial Market Models》
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作者：
Bernardo Spagnolo and Davide Valenti
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最新提交年份：
2008
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Statistical Finance        统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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一级分类：Physics        物理学
二级分类：Physics and Society        物理学与社会
分类描述：Structure, dynamics and collective behavior of societies and groups (human or otherwise). Quantitative analysis of social networks and other complex networks. Physics and engineering of infrastructure and systems of broad societal impact (e.g., energy grids, transportation networks).
社会和团体（人类或其他）的结构、动态和集体行为。社会网络和其他复杂网络的定量分析。具有广泛社会影响的基础设施和系统（如能源网、运输网络）的物理和工程。
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英文摘要：
  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 analyze in detail the effect both of noise and different initial conditions on the escape time in a market model with stochastic volatility and a cubic nonlinearity. For this model we compare the PF of the stock price returns, the PF of the volatility and the return correlation with the same statistical characteristics obtained from real market data.
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PDF链接：
https://arxiv.org/pdf/0810.1625