Conditional dynamics driving financial markets

Details Conditional dynamics driving financial markets Conditional dynamics driving financial markets

2003-10-09

arxiv.org/abs/cond-mat/0310217v1

Eur. Phys. J. B 40, 347 (2004)

Physics

Condensed Matter

Scientific paper

10.1140/epjb/e2004-00269-7

We report empirical evidences on the existence of a conditional dynamics driving the evolution of financial assets which is found in several markets around the world and for different historical periods. In particular, we have analyzed the DJIA database from 1900 to 2002 as well as more than 50 companies trading in the LIFFE market of futures and 12 of the major European and American treasury bonds. In all of the above cases, we find a double dynamics driving the financial evolution depending on whether the previous price went up or down. We conjecture that this effect is universal and intrinsic to all markets and, thus, it could be included as a new stylized fact of the market.

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