Time-reversal asymmetry in Cont-Bouchaud stock market model

The percolation model of stock market speculation allows an asymmetry (in the return distribution) leading to fast downward crashes and slow upward recovery. We see more small upturns and more intermediate downturns.

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Year of publication:	2001-05
Authors:	Chang, Iksoo ; Stauffer, Dietrich
Institutions:	arXiv.org

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Extent:	application/pdf
Series:	Papers.
Type of publication:	Book / Working Paper
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005098839