Time-reversal asymmetry in Cont-Bouchaud stock market model

Authors
Chang, I Stauffer, D
Citation
I. Chang et D. Stauffer, Time-reversal asymmetry in Cont-Bouchaud stock market model, PHYSICA A, 299(3-4), 2001, pp. 547-550
Citations number
14
Categorie Soggetti
Physics
Journal title
PHYSICA A
ISSN journal
03784371 → ACNP
Volume
299
Issue
3-4
Year of publication
2001
Pages
547 - 550
Database
ISI
SICI code
0378-4371(20011015)299:3-4<547:TAICSM>2.0.ZU;2-H
Abstract
The percolation model of stock market speculation allows an asymmetry (in t he return distribution) leading to fast downward crashes and slow upward re covery. We see more small upturns and more intermediate downturns. (C) 2001 Published by Elsevier Science B.V.