Zhang, Yu; Li, Honggang - In: Physica A: Statistical Mechanics and its Applications 390 (2011) 9, pp. 1655-1661
Price rise/fall asymmetry, which indicates enduring but modest rises and sudden short-term falls, is a ubiquitous phenomenon in stock markets throughout the world. Instead of the widely used time series method, we adopt inverse statistics from turbulence to analyze this asymmetry. To explore its...