Time-reversal asymmetry in financial systems

X. F. Jiang, T. T. Chen and B. Zheng

Papers from arXiv.org

Abstract: We investigate the large-fluctuation dynamics in financial markets, based on the minute-to-minute and daily data of the Chinese Indices and German DAX. The dynamic relaxation both before and after the large fluctuations is characterized by a power law, and the exponents $p_\pm$ 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.

Date: 2013-08
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Citations: View citations in EconPapers (16)

Published in Physica A, Volume 392, Issue 21, 1 November 2013, Pages 5369-5375

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