A multiscale view on inverse statistics and gain/loss asymmetry in financial time series

Journal of Statistical Mechanics: Theory and Experiment

Volumn 2009, Issue 2, 2009, Pages

  Siven, Johannes ^a   Lins, Jeffrey ^a   Hansen, Jonas Lundbek ^a  

^a Saxo Bank A/S   (Denmark)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 65449160551     PISSN: 17425468     EISSN: 17425468     Source Type: Journal    
DOI: 10.1088/1742-5468/2009/02/P02004     Document Type: Article

References (8)

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3. Donangelo R, Jensen M H, Simonsen I and Sneppen K 2006 Synchronization model for stock market asymmetry J. Stat. Mech. L11001
4. Gencay R, Selcuk F and Whitcher B 2002 An Introduction to Wavelets and Other Filtering Methods in Finance and Economics (New York: Academic)
5. Jensen M H, Johansen A and Simonsen I 2003 Inverse fractal statistics in turbulence and finance Int. J. Mod. Phys. B 17 4003
6. Johansen A, Jensen M H and Simonsen I 2005 Inverse statistics for stocks and markets Working paper
7. Percival D B and Walden A T 2002 Wavelet Methods for Time Series Analysis (Cambridge: Cambridge University Press)
8. Simonsen I, Jensen M H and Johansen A 2002 Optimal investment horizons Eur. Phys. J. B 27 583 (Pubitemid 135698264)