2005/04/21 by Ingve Simonsen, Simonsen, Ingve, Anders Johansen +3
Economics, Econometrics and Finance · Physics and Astronomy · #Complex Systems and Time Series Analysis #FOS: Economics and business #FOS: Physical sciences #Financial Markets and Investment Strategies #Financial Risk and Volatility Modeling #Physics and Society (physics.soc-ph) #Trading and Market Microstructure (q-fin.TR) #physics.soc-ph #q-fin.TR
paper · pdf · doi:10.48550/arxiv.physics/0504150
6 pages Latex, 3 figures; To appear in "Practical Fruits of Econophysics" ed H. Takayasu (Springer Verlag, 2005)
arxiv created 2005/04/21 · openalex publication_date 2005/04/21 · arxiv updated 2009/12/01 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
We review a resent \em time-dependent performance measure for economical time series -- the (optimal) investment horizon approach. For stock indices, the approach shows a pronounced gain-loss asymmetry that is \em not observed for the individual stocks that comprise the index. This difference may hint towards an synchronize of the draw downs of the stocks.