Time-reversal asymmetry in financial systems
We investigate the large-fluctuation dynamics in financial markets, based on the minute-to-minute and daily data of the Chinese Indices and German DAX. The dynamic relaxation both before and after the large fluctuations is characterized by a power law, and the exponents $p_\pm$ 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.
|Date of creation:||Aug 2013|
|Date of revision:|
|Publication status:||Published in Physica A, Volume 392, Issue 21, 1 November 2013, Pages 5369-5375|
|Contact details of provider:|| Web page: http://arxiv.org/|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Alexander M. Petersen & Fengzhong Wang & Shlomo Havlin & H. Eugene Stanley, 2009. "Quantitative law describing market dynamics before and after interest-rate change," Papers 0903.0010, arXiv.org, revised Oct 2010.
- Qiu, T. & Zheng, B. & Ren, F. & Trimper, S., 2007. "Statistical properties of German Dax and Chinese indices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 378(2), pages 387-398.
- Vrugt, Evert B., 2009. "U.S. and Japanese macroeconomic news and stock market volatility in Asia-Pacific," Pacific-Basin Finance Journal, Elsevier, vol. 17(5), pages 611-627, November.
- Tian Qiu & Bo Zheng & Guang Chen, 2010. "Adaptive financial networks with static and dynamic thresholds," Papers 1002.3432, arXiv.org.
- Anat R. Admati, Paul Pfleiderer, 1988. "A Theory of Intraday Patterns: Volume and Price Variability," Review of Financial Studies, Society for Financial Studies, vol. 1(1), pages 3-40.
- D. Sornette, 2003. "Critical Market Crashes," Papers cond-mat/0301543, arXiv.org.
- Zhiguang (Gerald) Wang, 2009. "Volatility Risk," Issue Briefs 2009513, South Dakota State University, Department of Economics.
- Mu, Guo-Hua & Zhou, Wei-Xing, 2008. "Relaxation dynamics of aftershocks after large volatility shocks in the SSEC index," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(21), pages 5211-5218.
When requesting a correction, please mention this item's handle: RePEc:arx:papers:1308.0669. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (arXiv administrators)
If references are entirely missing, you can add them using this form.