Inverse statistics in economics: the gain-loss asymmetry

DOI10.1016/S0378-4371(02)01884-8zbMath1072.91619arXivcond-mat/0211039OpenAlexW3123772346MaRDI QIDQ1873986

Ingve Simonsen, Mogens H. Jensen, Anders Johansen

Publication date: 21 May 2003

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/cond-mat/0211039

zbMATH Keywords

waiting time distributionreturn levelsinvestment horizon distribution

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Related Items (7)

Development of an agent-based speculation game for higher reproducibility of financial stylized facts ⋮ A q-spin Potts model of markets: gain-loss asymmetry in stock indices as an emergent phenomenon ⋮ The effects of fractional order on a 3-D quadratic autonomous system with four-wing attractor ⋮ Loss aversion in an agent-based asset pricing model ⋮ Inverse statistics and multifractality of exit distances in 3D fully developed turbulence ⋮ Fear and its implications for stock markets ⋮ Synchronization model for stock market asymmetry

Cites Work

• First passage time distribution for anomalous diffusion
• Introduction to Econophysics
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Inverse statistics in economics: the gain-loss asymmetry