Time-reversal asymmetry in Cont-Bouchaud stock market model
arXiv:cond-mat/0105573 · doi:10.1016/S0378-4371(01)00270-9
Abstract
The percolation model of stock market speculation allows an asymmetry (in the return distribution) leading to fast downward crashes and slow upward recovery. We see more small upturns and more intermediate downturns.
2 pages text in TeX, two figures, all in one postscript file