Time-reversal asymmetry in Cont-Bouchaud stock market model
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.
- Publication:
-
Physica A Statistical Mechanics and its Applications
- Pub Date:
- October 2001
- DOI:
- 10.1016/S0378-4371(01)00270-9
- arXiv:
- arXiv:cond-mat/0105573
- Bibcode:
- 2001PhyA..299..547C
- Keywords:
-
- Condensed Matter - Statistical Mechanics;
- Quantitative Finance - Trading and Market Microstructure
- E-Print:
- 2 pages text in TeX, two figures, all in one postscript file
