Conditional dynamics driving financial markets

M. Boguñá () and J. Masoliver

The European Physical Journal B: Condensed Matter and Complex Systems, 2004, vol. 40, issue 3, 347-352

Abstract: We revisit the problem of daily correlations in speculative prices and report empirical evidences on the existence of what we term a conditional or dual dynamics driving the evolution of financial assets. This dynamics is detected 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 65 companies trading in the LIFFE market of futures and 12 of the major European and American treasury bonds. In all cases, we find a twofold 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. Copyright Springer-Verlag Berlin/Heidelberg 2004

Date: 2004
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DOI: 10.1140/epjb/e2004-00269-7

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