Dresden 2006 – wissenschaftliches Programm

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AKSOE: Physik sozio-ökonomischer Systeme

AKSOE 12: Economic Models and Evolutionary Game Theory II

AKSOE 12.4: Vortrag

Donnerstag, 30. März 2006, 11:45–12:15, BAR 205

Inverse Statistics in the Stock Market: The gain/loss asymmetry. — •Mogens H. Jensen — Niels Bohr Institute, Blegdamsvej 17, DK-2100 Copenhagen.

We have consider inverse statistics of the Dow Jones Industrial Averaged (DJIA) and argue 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. By considering equal positive and negative levels of return, we have found a quantitative gain/loss asymmetry which is most pronounced for short horizons. In the case of individual stocks 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, {∖it i.e.}, cooperative cascade processes (or synchronization) which disappear in the inverse statistics of the individual stocks. We present an asymmetrical synchronous model for this observation where the market as a whole exhibits a gain/loss asymmetry but where all the individual stocks are symmetric.