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Asymmetric noises on a stock exchange.

Marzena Kozłowska ,  Ryszard Kutner 

Warsaw University, Faculty of Physics, Hoża 69, Warszawa 00-681, Poland


We study the bessa and hossa concerning the recent global financial crash (or peak). By applying our own detrended fluctuation analysis, based on well suited trend in the form of a Mittag-Leffler function superposed with some oscillations [1], we obtained for some stock market indices the asymmetric noises. We even found more global asymmetry as for some indices the asymmetry is connected only with a single side of the peak namely, one side has asymmetric noise but other side not. We plan to study these observations by tools developed, for example, in [2] as well as by using a microscopic approach based on stochastic dynamics of individual agents.

[1] M. Kozłowska, A. Kasprzak, R. Kutner, Int. J. Modern Phys. 19 (2008), 453.

[2] M. Załuska-Kotur, K. Karpio, A. Orłowski, Acta Phys. Pol. B 37 (2006), 3187.


Auxiliary resources (full texts, presentations, posters, etc.)
  1. PRESENTATION: Asymmetric noises on a stock exchange., PDF document, version 1.4, 0.4MB

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Related papers

Presentation: Oral at 5 Ogólnopolskie Sympozjum "Fizyka w Ekonomii i Naukach Społecznych", by Marzena Kozłowska
See On-line Journal of 5 Ogólnopolskie Sympozjum "Fizyka w Ekonomii i Naukach Społecznych"

Submitted: 2010-10-10 20:44
Revised:   2010-10-10 20:44