Synchronization Model for Stock Market Asymmetry
arXiv:physics/0604137 · doi:10.1088/1742-5468/2006/11/L11001
Abstract
The waiting time needed for a stock market index to undergo a given percentage change in its value is found to have an up-down asymmetry, which, surprisingly, is not observed for the individual stocks composing that index. To explain this, we introduce a market model consisting of randomly fluctuating stocks that occasionally synchronize their short term draw-downs. These synchronous events are parameterized by a ``fear factor'', that reflects the occurrence of dramatic external events which affect the financial market.
4 pages, 4 figures
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