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Time-reversal asymmetry in financial systems

Authors
Journal
Physica A Statistical Mechanics and its Applications
0378-4371
Publisher
Elsevier
Publication Date
Volume
392
Issue
21
Identifiers
DOI: 10.1016/j.physa.2013.07.006
Keywords
  • Econophysics
  • Financial Market
  • Large Fluctuation
  • Time-Reversal Asymmetry

Abstract

Abstract We investigate the large-fluctuation dynamics in financial markets, based on the minute-to-minute and daily data of the Chinese Indices and the German DAX. The dynamic relaxation both before and after the large fluctuations is characterized by a power law, and the exponents p± usually vary with the strength of the large fluctuations. The large-fluctuation dynamics is time-reversal symmetric at the time scale in minutes, while asymmetric at the daily time scale. Careful analysis reveals that the time-reversal asymmetry is mainly induced by external forces. It is also the external forces which drive the financial system to a non-stationary state. Different characteristics of the Chinese and German stock markets are uncovered.

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