Time-reversal asymmetry in Cont–Bouchaud stock market model
نویسندگان
چکیده
منابع مشابه
Synchronization model for stock market asymmetry
The waiting time needed for a stock market index to undergo a given percentage change in its value is found to have an up–down asymmetry, which, surprisingly, is not observed for the individual stocks composing that index. To explain this, we introduce a market model consisting of randomly fluctuating stocks that occasionally synchronize their short term draw-downs. These synchronous events are...
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ژورنال
عنوان ژورنال: Physica A: Statistical Mechanics and its Applications
سال: 2001
ISSN: 0378-4371
DOI: 10.1016/s0378-4371(01)00270-9