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Synchronization Model for Stock Market Asymmetry

Raul Donangelo·Mogens H. Jensen·Ingve Simonsen·Kim Sneppen
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Abstract

The 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 parameterized by a ``fear factor'', that reflects the occurrence of dramatic external events which affect the financial market.

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Raul Donangelo, Mogens H. Jensen, Ingve Simonsen, Kim Sneppen. 2006-08-31. Synchronization Model for Stock Market Asymmetry. https://doi.org/10.1088/1742-5468%2F2006%2F11%2Fl11001

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