Multimedialne seminarium z ekono- i socjofizyki

The problem of excessive losses is a central one (both from theoretical and practical point of view) in market activity. One of the significant questions in the analysis of losses in financial market time series, closely related to the economic concept of value at risk (VaR), is the description of a distance between subsequent losses of a particular magnitude. The goal of the talk is to present a consistent description of this problem based on and then also confirmed by the empirical data. Assuming the distribution of losses in the form of the Weibull distribution and the stretched exponential relaxation time, the approach founded on the Continuous-Time Random Walk (CTRW) & Extreme Value Theory (EVT) yields the formula for „universal” statistics of interoccurrence times between excessive losses on financial markets. This description is alternative to the one based on the Tsallis q-exponential function given recently [Ludescher et al. EPL 95 (2011) 68002].