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New results on gain-loss asymmetry for stock markets time series |
Arkadiusz J. Orłowski 1,2, Magdalena A. Zaluska-Kotur 3, Krzysztof Karpio 2 |
1. Polska Akademia Nauk (PAN), 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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Presentation: Oral at 3 Ogólnopolskie Sympozjum "Fizyka w Ekonomii i Naukach Społecznych", by Arkadiusz J. OrłowskiSee 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 |