Frustration driven stock market dynamics: Leverage effect and asymmetry

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

18 Citationer (Scopus)

Abstract

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

Originalsprog	Engelsk
Tidsskrift	Physica A: Statistical Mechanics and its Applications
Vol/bind	383
Udgave nummer	1
Sider (fra-til)	1-4
Antal sider	4
ISSN	0378-4371
DOI	https://doi.org/10.1016/j.physa.2007.04.081
Status	Udgivet - 2007

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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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T1 - Frustration driven stock market dynamics

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 -