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/|
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