Physics – Condensed Matter – Statistical Mechanics
Scientific paper
2000-02-28
Physics
Condensed Matter
Statistical Mechanics
4 pages, 4 figures
Scientific paper
10.1007/s100510051162
We select the $n$ stocks traded in the New York Stock Exchange and we form a statistical ensemble of daily stock returns for each of the $k$ trading days of our database from the stock price time series. We study the ensemble return distribution for each trading day and we find that the symmetry properties of the ensemble return distribution drastically change in crash and rally days of the market. We compare these empirical results with numerical simulations based on the single-index model and we conclude that this model is unable to explain the behavior of the market in extreme days.
Lillo Fabrizio
Mantegna Rosario Nunzio
No associations
LandOfFree
Symmetry alteration of ensemble return distribution in crash and rally days of financial markets does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.
If you have personal experience with Symmetry alteration of ensemble return distribution in crash and rally days of financial markets, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Symmetry alteration of ensemble return distribution in crash and rally days of financial markets will most certainly appreciate the feedback.
Profile ID: LFWR-SCP-O-198943