2005/11/10 by Anders Johansen, A. Johansen, Ingve Simonsen +6
Economics, Econometrics and Finance · Physics and Astronomy · #Complex Systems and Time Series Analysis #Data Analysis #FOS: Economics and business #FOS: Physical sciences #Physics and Society (physics.soc-ph) #Statistical Finance (q-fin.ST) #Statistical Mechanics (cond-mat.stat-mech) #Statistical Mechanics and Entropy #Statistics and Probability (physics.data-an) #cond-mat.stat-mech #physics.data-an #physics.soc-ph #q-fin.ST
paper · pdf · doi:10.48550/arxiv.physics/0511091
Revtex 13 pages, including 15 figures
arxiv created 2005/11/10 · openalex publication_date 2005/11/10 · arxiv updated 2009/12/01 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
In recent publications, the authors have considered inverse statistics of the Dow Jones Industrial Averaged (DJIA) [1-3]. Specifically, we argued that the natural candidate for such statistics is the investment horizons distribution. This is the distribution of waiting times needed to achieve a predefined level of return obtained from detrended historic asset prices. Such a distribution typically goes through a maximum at a time coined the \em optimal investment horizon, τ^*ρ, which defines the most likely waiting time for obtaining a given return ρ. By considering equal positive and negative levels of return, we reported in [2,3] on a quantitative gain/loss asymmetry most pronounced for short horizons. In the present paper, this gain/loss asymmetry is re-visited for 2/3 of the individual stocks presently in the DJIA. We show that this gain/loss asymmetry established for the DJIA surprisingly is \em not present in the time series of the individual stocks. The most reasonable explanation for this fact is that the gain/loss asymmetry observed in the DJIA as well as in the SP500 and Nasdaq are due to movements in the market as a whole, \it i.e., cooperative cascade processes (or ``synchronization'') which disappear in the inverse statistics of the individual stocks.