Time-reversal asymmetry in financial systems

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

Physica A: Statistical Mechanics and its Applications, 2013, vol. 392, issue 21, 5369-5375

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

Keywords: Econophysics; Financial market; Large fluctuation; Time-reversal asymmetry (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (16)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:392:y:2013:i:21:p:5369-5375

DOI: 10.1016/j.physa.2013.07.006

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