Correlations and response: absence of detailed balance on the stock market

J. Kertész, L. Kullmann, Adam Zawadowski, R. Karádi and K. Kaski

Physica A: Statistical Mechanics and its Applications, 2003, vol. 324, issue 1, 74-80

Abstract: In and near thermal equilibrium microscopic reversibility resulting in detailed balance has specific consequences like the symmetry of time dependent cross correlation (TDCC) functions and fluctuation dissipation theorem. In this paper we study some consequences of the absence of microscopic reversibility on financial processes. By analyzing high resolution data we find asymmetric TDCC functions indicating dominance of some companies in the price formation procedure. We show that in the Lux–Marchesi multi agent market model spontaneous fluctuations decay differently from perturbations caused by external effects.

Date: 2003
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:324:y:2003:i:1:p:74-80

DOI: 10.1016/S0378-4371(02)01914-3

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