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Time-reversal asymmetry in Cont-Bouchaud stock market model

Iksoo Chang·Dietrich Stauffer
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Abstract

The percolation model of stock market speculation allows an asymmetry (in the return distribution) leading to fast downward crashes and slow upward recovery. We see more small upturns and more intermediate downturns.

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Iksoo Chang, Dietrich Stauffer. 2001-05-29. Time-reversal asymmetry in Cont-Bouchaud stock market model. https://doi.org/10.1016/s0378-4371(01)00270-9

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