Investment horizons : A time-dependent measure of asset performance
Physics and Society
2008-12-02 v1 Trading and Market Microstructure
Abstract
We review a resent {\em time-dependent} performance measure for economical time series -- the (optimal) investment horizon approach. For stock indices, the approach shows a pronounced gain-loss asymmetry that is {\em not} observed for the individual stocks that comprise the index. This difference may hint towards an synchronize of the draw downs of the stocks.
Keywords
Cite
@article{arxiv.physics/0504150,
title = {Investment horizons : A time-dependent measure of asset performance},
author = {Ingve Simonsen and Anders Johansen and Mogens H. Jensen},
journal= {arXiv preprint arXiv:physics/0504150},
year = {2008}
}
Comments
6 pages Latex, 3 figures; To appear in "Practical Fruits of Econophysics" ed H. Takayasu (Springer Verlag, 2005)