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
Authors:	Chang, Iksoo ; Stauffer, Dietrich
Published in:	Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 299.2001, 3, p. 547-550
Publisher:	Elsevier
Subject:	Econophysics \| Speculation \| Return distribution

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010589119