Synchronization model for stock market asymmetry

DOI10.1088/1742-5468/2006/11/L11001MaRDI QIDQ4968896zbMATH OpenWikidataFDO

Authors Raul Donangelo, Mogens H. Jensen, I. Simonsen, K. Sneppen

Publication date 9 July 2019

Published in Journal of Statistical Mechanics: Theory and Experiment (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/physics/0604137

zbMATH Keywords

models of financial marketsstochastic processes

Mathematics Subject Classification ID

Applications of statistical and quantum mechanics to economics (econophysics) (91B80) Financial applications of other theories (91G80)

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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Cites work

• Fear and its implications for stock markets
• Introduction to Econophysics
• Inverse statistics in economics: the gain-loss asymmetry

Cited in

(4)

• Development of an agent-based speculation game for higher reproducibility of financial stylized facts
• A q-spin Potts model of markets: gain-loss asymmetry in stock indices as an emergent phenomenon
• Time-reversal asymmetry in Cont-Bouchaud stock market model
• Fear and its implications for stock markets

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