Inverse Statistics for Stocks and Markets
نویسنده
چکیده
In recent publications, the authors have considered inverse statistics of the Dow Jones Industrial Averaged (DJIA) [1, 2, 3]. Specifically, we argued that the natural candidate for such statistics is the investment horizons distribution. This is the distribution of waiting times needed to achieve a predefined level of return obtained from detrended historic asset prices. Such a distribution typically goes through a maximum at a time coined the optimal investment horizon, τ ρ , which defines the most likely waiting time for obtaining a given return ρ. By considering equal positive and negative levels of return, we reported in [2, 3] on a quantitative gain/loss asymmetry most pronounced for short horizons. In the present paper, this gain/loss asymmetry is re-visited for 2/3 of the individual stocks presently in the DJIA. We show that this gain/loss asymmetry established for the DJIA surprisingly is not present in the time series of the individual stocks. The most reasonable explanation for this fact is that the gain/loss asymmetry observed in the DJIA as well as in the SP500 and Nasdaq are due to movements in the market as a whole, i.e., cooperative cascade processes (or “synchronization”) which disappear in the inverse statistics of the individual stocks.
منابع مشابه
Optimal Investment Horizons for Stocks and Markets
The inverse statistics is the distribution of waiting times needed to achieve a predefined level of return obtained from (detrended) historic asset prices [1, 2]. Such a distribution typically goes through a maximum at a time coined the optimal investment horizon, τ ρ , which defines the most likely waiting time for obtaining a given return ρ. By considering equal positive and negative levels o...
متن کاملUnderpricing, Ownership and Liquidity of Initial Public Offers (IPO) and Their Impact on Performance of IPO Stocks in Equity Markets of India
Paper studies the impact of the liquidity, underpricing and ownership up on both the short term and long term performance of the Initial Public Offer (IPO) stocks in the equity markets of India. Empirical analysis is undertaken to study the impact of liquidity, underpricing and ownership on Performance of IPO stocks. Multiple regression analysis is undertaken for analyzing the impact. It is fou...
متن کاملAPPLICATION OF THE RANDOM MATRIX THEORY ON THE CROSS-CORRELATION OF STOCK PRICES
The analysis of cross-correlations is extensively applied for understanding of interconnections in stock markets. Variety of methods are used in order to search stock cross-correlations including the Random Matrix Theory (RMT), the Principal Component Analysis (PCA) and the Hierachical Structures. In this work, we analyze cross-crrelations between price fluctuations of 20 company stocks...
متن کاملSelf-organization of price fluctuation distribution in evolv- ing markets
– Financial markets can be seen as complex systems in non-equilibrium steady state, one of whose most important properties is the distribution of price fluctuations. Recently, there have been assertions that this distribution is qualitatively different in emerging markets as compared to developed markets. Here we analyse both high-frequency tick-by-tick as well as daily closing price data to sh...
متن کاملImpact of the Selected Domestic and Foreign Markets Returns on Stock Price in Iran
One of the features of a financial market, the stock market, in particular, is the market sentiment which is the overall attitude of investors toward a particular security or financial market. Investors always seek to create a portfolio with minimum risk while maintaining the expected return level. Therefore, perceiving the relationship between the stock returns and markets returns can be helpf...
متن کامل