Synchronization model for stock market asymmetry
نویسندگان
چکیده
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 parametrized by a ‘fear factor’, that reflects the occurrence of dramatic external events which affect the financial market.
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تاریخ انتشار 2006