Time-scale effects on the gain-loss asymmetry in stock indices
arXiv:1608.04506 · doi:10.1103/PhysRevE.94.022311
Abstract
The gain-loss asymmetry, observed in the inverse statistics of stock indices is present for logarithmic return levels that are over , and it is the result of the non-Pearson type auto-correlations in the index. These non-Pearson type correlations can be viewed also as functionally dependent daily volatilities, extending for a finite time interval. A generalized time-window shuffling method is used to show the existence of such auto-correlations. Their characteristic time-scale proves to be smaller (less than trading days) than what was previously believed. It is also found that this characteristic time-scale has decreased with the appearance of program trading in the stock market transactions. Connections with the leverage effect are also established.
arXiv comment10 pages, 12 figures, 1 supplementary material
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