most citedBroken Symmetry, Conservation Law, and Scaling in Accumulated Stock Returns -- a Modified Jones-Faddy Skew t-Distribution Perspective

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2 papers

q-fin.ST2026★ 1 cited

Broken Symmetry, Conservation Law, and Scaling in Accumulated Stock Returns -- a Modified Jones-Faddy Skew t-Distribution Perspective

Arshia Ghasemi, Siqi Shao, R. A. Serota

We analyze historic S&P500 multi-day returns: from daily returns to those accumulated over up to ten days. Despite symmetry breaking between gains and losses in the distribution of…

q-fin.ST2026

Broken Symmetry of Stock Returns -- a Modified Jones-Faddy Skew t-Distribution

Siqi Shao, Arshia Ghasemi, Hamed Farahani +1

We argue that negative skew and positive mean of the distribution of stock returns are largely due to the broken symmetry of stochastic volatility governing gains and losses. Start…