Symmetry alteration of ensemble return distribution in crash and rally days of financial markets
Istituto Nazionale per la Fisica della Materia, Unità di Palermo,
Viale delle Scienze, 90128, Palermo, Italy
2 Dipartimento di Fisica e Tecnologie Relative, Università di Palermo, Viale delle Scienze, 90128, Palermo, Italy
Published online: 15 June 2000
We select the n stocks traded in the New York Stock Exchange and we form a statistical ensemble of daily stock returns for each of the k trading days of our database from the stock price time series. We study the ensemble return distribution for each trading day and we find that the symmetry properties of the ensemble return distribution drastically change in crash and rally days of the market. In crash and rally days, the distribution becomes asymmetric. In particular for crashes the positive tail is steeper than the negative one whereas the reverse is observed in rally days. - 89.90.+n Other topics of general interest to physicists.
PACS: 05.40.-a – Fluctuation phenomena, random processes, noise, and Brownian motion
© EDP Sciences, Società Italiana di Fisica, Springer-Verlag, 2000