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Time-reversal asymmetry in financial systems

Author

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  • Jiang, X.F.
  • Chen, T.T.
  • Zheng, B.

Abstract

We investigate the large-fluctuation dynamics in financial markets, based on the minute-to-minute and daily data of the Chinese Indices and the German DAX. The dynamic relaxation both before and after the large fluctuations is characterized by a power law, and the exponents p± usually vary with the strength of the large fluctuations. The large-fluctuation dynamics is time-reversal symmetric at the time scale in minutes, while asymmetric at the daily time scale. Careful analysis reveals that the time-reversal asymmetry is mainly induced by external forces. It is also the external forces which drive the financial system to a non-stationary state. Different characteristics of the Chinese and German stock markets are uncovered.

Suggested Citation

  • Jiang, X.F. & Chen, T.T. & Zheng, B., 2013. "Time-reversal asymmetry in financial systems," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(21), pages 5369-5375.
    • Handle: RePEc:eee:phsmap:v:392:y:2013:i:21:p:5369-5375
    DOI: 10.1016/j.physa.2013.07.006
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