Frustration driven stock market dynamics: Leverage effect and asymmetry

Peter Toke Heden Ahlgren; Mogens Høgh Jensen; Ingve Simonsen; Raul Donangelo; Kim Sneppen

doi:10.1016/j.physa.2007.04.081

Frustration driven stock market dynamics: Leverage effect and asymmetry

Peter Toke Heden Ahlgren, Mogens Høgh Jensen, Ingve Simonsen, Raul Donangelo, Kim Sneppen

Biocomplexity

Research output: Contribution to journal › Journal article › Research › peer-review

19 Citations (Scopus)

Abstract

Stochastic processes; Inverse statistics; Gain-loss asymmetry; Leverage
Udgivelsesdato: May 1

Original language	English
Journal	Physica A: Statistical Mechanics and its Applications
Volume	383
Issue number	1
Pages (from-to)	1-4
Number of pages	4
ISSN	0378-4371
DOIs	https://doi.org/10.1016/j.physa.2007.04.081
Publication status	Published - 2007

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Cite this

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title = "Frustration driven stock market dynamics: Leverage effect and asymmetry",

abstract = "Stochastic processes; Inverse statistics; Gain-loss asymmetry; Leverage Udgivelsesdato: May 1",

author = "{Heden Ahlgren}, {Peter Toke} and Jensen, {Mogens H{\o}gh} and Ingve Simonsen and Raul Donangelo and Kim Sneppen",

year = "2007",

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language = "English",

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T2 - Leverage effect and asymmetry

AU - Heden Ahlgren, Peter Toke

AU - Jensen, Mogens Høgh

AU - Simonsen, Ingve

AU - Donangelo, Raul

AU - Sneppen, Kim

PY - 2007

Y1 - 2007

N2 - Stochastic processes; Inverse statistics; Gain-loss asymmetry; Leverage Udgivelsesdato: May 1

AB - Stochastic processes; Inverse statistics; Gain-loss asymmetry; Leverage Udgivelsesdato: May 1

U2 - 10.1016/j.physa.2007.04.081

DO - 10.1016/j.physa.2007.04.081

M3 - Journal article

SN - 0378-4371

VL - 383

SP - 1

EP - 4

JO - Physica A: Statistical Mechanics and its Applications

JF - Physica A: Statistical Mechanics and its Applications

IS - 1

ER -