dorsal/arxiv
View SchemaSynchronization Model for Stock Market Asymmetry
| Authors | Raul Donangelo, Mogens H. Jensen, Ingve Simonsen, Kim Sneppen |
|---|---|
| Categories | |
| ArXiv ID | physics/0604137 |
| URL | https://arxiv.org/abs/physics/0604137 |
| DOI | 10.1088/1742-5468/2006/11/L11001 |
Abstract
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 parameterized by a ``fear factor'', that reflects the occurrence of dramatic external events which affect the financial market.
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"abstract": "The waiting time needed for a stock market index to undergo a given\npercentage change in its value is found to have an up-down asymmetry, which,\nsurprisingly, is not observed for the individual stocks composing that index.\nTo explain this, we introduce a market model consisting of randomly fluctuating\nstocks that occasionally synchronize their short term draw-downs. These\nsynchronous events are parameterized by a ``fear factor\u0027\u0027, that reflects the\noccurrence of dramatic external events which affect the financial market.",
"arxiv_id": "physics/0604137",
"authors": [
"Raul Donangelo",
"Mogens H. Jensen",
"Ingve Simonsen",
"Kim Sneppen"
],
"categories": [
"physics.soc-ph",
"q-fin.ST"
],
"doi": "10.1088/1742-5468/2006/11/L11001",
"title": "Synchronization Model for Stock Market Asymmetry",
"url": "https://arxiv.org/abs/physics/0604137"
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