dorsal/arxiv
View SchemaOptimal Investment Horizons for Stocks and Markets
| Authors | A. Johansen, I. Simonsen, M. H. Jensen |
|---|---|
| Categories | |
| ArXiv ID | physics/0601002 |
| URL | https://arxiv.org/abs/physics/0601002 |
| DOI | 10.1016/j.physa.2006.04.030 |
Abstract
The inverse statistics is the distribution of waiting times needed to achieve a predefined level of return obtained from (detrended) historic asset prices \cite{optihori,gainloss}. Such a distribution typically goes through a maximum at a time coined the {\em optimal investment horizon}, $\tau^*_\rho$, which defines the most likely waiting time for obtaining a given return $\rho$. By considering equal positive and negative levels of return, we reported in \cite{gainloss} on a quantitative gain/loss asymmetry most pronounced for short horizons. In the present paper, the inverse statistics for 2/3 of the individual stocks presently in the DJIA is investigated. We show that this gain/loss asymmetry established for the DJIA surprisingly is {\em not} present in the time series of the individual stocks nor their average. This observation points towards some kind of collective movement of the stocks of the index (synchronization).
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"abstract": "The inverse statistics is the distribution of waiting times needed to achieve\na predefined level of return obtained from (detrended) historic asset prices\n\\cite{optihori,gainloss}. Such a distribution typically goes through a maximum\nat a time coined the {\\em optimal investment horizon}, $\\tau^*_\\rho$, which\ndefines the most likely waiting time for obtaining a given return $\\rho$. By\nconsidering equal positive and negative levels of return, we reported in\n\\cite{gainloss} on a quantitative gain/loss asymmetry most pronounced for short\nhorizons. In the present paper, the inverse statistics for 2/3 of the\nindividual stocks presently in the DJIA is investigated. We show that this\ngain/loss asymmetry established for the DJIA surprisingly is {\\em not} present\nin the time series of the individual stocks nor their average. This observation\npoints towards some kind of collective movement of the stocks of the index\n(synchronization).",
"arxiv_id": "physics/0601002",
"authors": [
"A. Johansen",
"I. Simonsen",
"M. H. Jensen"
],
"categories": [
"physics.soc-ph",
"q-fin.ST"
],
"doi": "10.1016/j.physa.2006.04.030",
"title": "Optimal Investment Horizons for Stocks and Markets",
"url": "https://arxiv.org/abs/physics/0601002"
},
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