Time-reversal asymmetry in Cont–Bouchaud stock market model

Iksoo Chang and Dietrich Stauffer

Physica A: Statistical Mechanics and its Applications, 2001, vol. 299, issue 3, 547-550

Abstract: The percolation model of stock market speculation allows an asymmetry (in the return distribution) leading to fast downward crashes and slow upward recovery. We see more small upturns and more intermediate downturns.

Keywords: Econophysics; Speculation; Return distribution (search for similar items in EconPapers)
Date: 2001
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:299:y:2001:i:3:p:547-550

DOI: 10.1016/S0378-4371(01)00270-9

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