Synchronization Model for Stock Market Asymmetry
Physics and Society
2009-11-11 v2 Statistical Finance
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.
Keywords
Cite
@article{arxiv.physics/0604137,
title = {Synchronization Model for Stock Market Asymmetry},
author = {Raul Donangelo and Mogens H. Jensen and Ingve Simonsen and Kim Sneppen},
journal= {arXiv preprint arXiv:physics/0604137},
year = {2009}
}
Comments
4 pages, 4 figures