2006/05/16 by Andrei Leonidov, Vladimir Trainin, Leonidov, Andrei +5 · 2 citations
Economics, Econometrics and Finance · #Complex Systems and Time Series Analysis #FOS: Physical sciences #Financial Risk and Volatility Modeling #Market Dynamics and Volatility #Physics and Society (physics.soc-ph)
paper · pdf · doi:10.48550/arxiv.physics/0605138
openalex publication_date 2006/05/16 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
This paper continues a series of studies of dependence patterns following from properties of the bivariate probability distribution P(x,y) of two consecutive price increments x (push) and y (response). The paper focuses on individual differences of the P(x,y) for 2000 stocks using a methodology of identification of asymmetric market mill patterns developed in [1,2]. We show that individual asymmetry patterns (portraits) are remarkably stable over time and can be classified into three major groups - correlation, anticorrelation and market mill. We analyze the conditional dynamics resulting from the properties of P(x,y) for all groups and demonstrate that it is trend-following at small push magnitudes and contrarian at large ones