Raul Donangelo et al J. Stat. Mech. (2006) L11001 doi:10.1088/1742-5468/2006/11/L11001
Raul Donangelo1, Mogens H Jensen2, Ingve Simonsen3,4 and Kim Sneppen2
Show affiliationsThe 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 parametrized by a 'fear factor', that reflects the occurrence of dramatic external events which affect the financial market.
89.65.Gh Economics; econophysics, financial markets, business and management
05.40.-a Fluctuation phenomena, random processes, noise, and Brownian motion
Issue 11 (November 2006)
Received 31 August 2006, accepted for publication 2 November 2006
Published 27 November 2006
Raul Donangelo et al J. Stat. Mech. (2006) L11001
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