Inverse Statistics in Economics : The gain-loss asymmetry
arXiv:cond-mat/0211039 · doi:10.1016/S0378-4371(02)01884-8
Abstract
Inverse statistics in economics is considered. We argue that the natural candidate for such statistics is the investment horizons distribution. This distribution of waiting times needed to achieve a predefined level of return is obtained from (often detrended) historic asset prices. Such a distribution typically goes through a maximum at a time called the {\em optimal investment horizon}, , since this defines the most likely waiting time for obtaining a given return . By considering equal positive and negative levels of return, we report on a quantitative gain-loss asymmetry most pronounced for short horizons. It is argued that this asymmetry reflects the market dynamics and we speculate over the origin of this asymmetry.
arXiv commentLatex, 6 pages, 3 figures
References in corpus (4)
Cited by in corpus (18)
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