Time-reversal asymmetry in financial systems
Abstract
We investigate the large-fluctuation dynamics in financial markets, based on the minute-to-minute and daily data of the Chinese Indices and German DAX. The dynamic relaxation both before and after the large fluctuations is characterized by a power law, and the exponents usually vary with the strength of the large fluctuations. The large-fluctuation dynamics is time-reversal symmetric at the time scale in minutes, while asymmetric at the daily time scale. Careful analysis reveals that the time-reversal asymmetry is mainly induced by external forces. It is also the external forces which drive the financial system to a non-stationary state. Different characteristics of the Chinese and German stock markets are uncovered.
Keywords
Cite
@article{arxiv.1308.0669,
title = {Time-reversal asymmetry in financial systems},
author = {X. F. Jiang and T. T. Chen and B. Zheng},
journal= {arXiv preprint arXiv:1308.0669},
year = {2013}
}
Comments
17 pages, 8 figures, Accepted by Physica A. arXiv admin note: substantial text overlap with arXiv:1002.3747