Temporal structure and gain/loss asymmetry for real and artificial stock indices

Abstract

We demonstrate that the gain/loss asymmetry observed for stock indices vanishes if the temporal dependence structure is destroyed by scrambling the time series. We also show that an artificial index constructed by a simple average of a number of individual stocks display gain/loss asymmetry - this allows us to explicitly analyze the dependence between the index constituents. We consider mutual information and correlation based measures and show that the stock returns indeed have a higher degree of dependence in times of market downturns than upturns.

References in corpus (4)

• The leverage effect in financial markets: retarded volatility and market panic
• Optimal Investment Horizons
• Synchronization Model for Stock Market Asymmetry
• A multiscale view on inverse statistics and gain/loss asymmetry in financial time series

Cited by in corpus (6)

• Multifractal analysis of financial markets
• Persistent collective trend in stock markets
• Time-scale effects on the gain-loss asymmetry in stock indices
• Asymmetry in Distributions of Accumulated Gains and Losses in Stock Returns
• A multi-scale symmetry analysis of uninterrupted trends returns of daily financial indices
• Waiting times for sea level variations in the Port of Trieste: a computational data-driven study