Time-reversal asymmetry in Cont-Bouchaud stock market model

Iksoo Chang, Dietrich Stauffer

Research output: Contribution to journalArticlepeer-review

5 Scopus citations

Abstract

A study on time-reversal asymmetry in Cont-Bouchaud stock market model was performed. An asymmetry leading to fast downward crashes and slow upward recovery was allowed by the percolation model of stock market speculation. It was observed that the modifications gave volatility clustering, an asymmetry sharp peaks and smooth valleys price versus time.

Original languageEnglish
Pages (from-to)547-550
Number of pages4
JournalPhysica A: Statistical Mechanics and its Applications
Volume299
Issue number3-4
DOIs
StatePublished - 15 Oct 2001

Keywords

  • Econophysics
  • Return distribution
  • Speculation

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