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We study theoretical and empirical aspects of the mean exit time of financialtime series. The theoretical modeling is done within the framework ofcontinuous time random walk. We empirically verify that the mean exit timefollows a quadratic scaling law and it has associated a pre-factor which isspecific to the analyzed stock. We perform a series of statistical tests todetermine which kind of correlation are responsible for this specificity. Themain contribution is associated with the autocorrelation property of stockreturns. We introduce and solve analytically both a two-state and a three-stateMarkov chain models. The analytical results obtained with the two-state Markovchain model allows us to obtain a data collapse of the 20 measured MET profilesin a single master curve.Comment: REVTeX 4, 11 pages, 8 figures, 1 table, submitted for publicatio

Scaling and data collapse for the mean exit time of asset prices