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New results on gain-loss asymmetry for stock markets time series

Arkadiusz J. Orłowski 1,2Magdalena A. Zaluska-Kotur 3Krzysztof Karpio 2

1. Polska Akademia Nauk (PAN), Al. Lotników 32/46, Warszawa 02-668, Poland
2. Szkoła Główna Gospodarstwa Wiejskiego (SGGW), Nowoursynowska 166, Warszawa 02-787, Poland
3. Polish Academy of Sciences, Institute of Physics, al. Lotników 32/46, Warszawa 02-668, Poland

Abstract

New results regarding gain-loss asymmetry phenomenon for time series representing stock markets dynamics are given. A comparison between emerging markets and well-developed markets is provided and some possible explanations are suggested. Some generalizations of our previous results1 are presented.

1K. Karpio, M. Załuska-Kotur, A. Orłowski, Physica A, 375, 599-604 (2007).

 

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Related papers

Presentation: Oral at 3 Ogólnopolskie Sympozjum "Fizyka w Ekonomii i Naukach Społecznych", by Arkadiusz J. Orłowski
See On-line Journal of 3 Ogólnopolskie Sympozjum "Fizyka w Ekonomii i Naukach Społecznych"

Submitted: 2007-10-23 10:41
Revised:   2009-06-07 00:44