Frustration driven stock market dynamics: Leverage effect and asymmetry

Physica A: Statistical Mechanics and its Applications

Volumn 383, Issue 1 SPEC. ISS., 2007, Pages 1-4

  Ahlgren, Peter Toke Heden ^a   Jensen, Mogens H ^a   Simonsen, Ingve ^b   Donangelo, Raul ^c   Sneppen, Kim ^a  

^a UNIVERSITY OF COPENHAGEN   (Denmark)

^b NORWEGIAN UNIVERSITY OF SCIENCE AND TECHNOLOGY   (Norway)

^c FEDERAL UNIVERSITY OF RIO DE JANEIRO   (Brazil)

Author keywords

Gain loss asymmetry; Inverse statistics; Leverage; Stochastic processes

Indexed keywords

FINANCIAL DATA PROCESSING; INVERSE PROBLEMS; MARKETING; MATHEMATICAL MODELS; RANDOM PROCESSES;

GAIN LOSS ASYMMETRY; INVERSE STATISTICS; LEVERAGE;

STATISTICAL MECHANICS;

EID: 34347344030     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2007.04.081     Document Type: Article

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