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 language | English |
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Pages (from-to) | 547-550 |
Number of pages | 4 |
Journal | Physica A: Statistical Mechanics and its Applications |
Volume | 299 |
Issue number | 3-4 |
DOIs | |
State | Published - 15 Oct 2001 |
Keywords
- Econophysics
- Return distribution
- Speculation