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arXiv · 0907.0554

Temporal structure and gain/loss asymmetry for real and artificial stock indices

Johannes Vitalis Siven·Jeffrey Todd Lins
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Abstract

We demonstrate that the gain/loss asymmetry observed for stock indices vanishes if the temporal dependence structure is destroyed by scrambling the time series. We also show that an artificial index constructed by a simple average of a number of individual stocks display gain/loss asymmetry - this allows us to explicitly analyze the dependence between the index constituents. We consider mutual information and correlation based measures and show that the stock returns indeed have a higher degree of dependence in times of market downturns than upturns.

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BibTeXRIS

Johannes Vitalis Siven, Jeffrey Todd Lins. 2009-07-03. Temporal structure and gain/loss asymmetry for real and artificial stock indices. https://doi.org/10.1103/physreve.80.057102

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