https://doi.org/10.1140/epjb/e2004-00269-7
Conditional dynamics driving financial markets
Departament de Física Fonamental, Universitat de
Barcelona, Avinguda Diagonal 647, 08028 Barcelona, Spain
Corresponding author: a This email address is being protected from spambots. You need JavaScript enabled to view it.
Received:
28
October
2003
Revised:
14
April
2004
Published online:
31
August
2004
Abstract
We revisit the problem of daily correlations in speculative prices and report empirical evidences on the existence of what we term a conditional or dual dynamics driving the evolution of financial assets. This dynamics is detected in several markets around the world and for different historical periods. In particular, we have analyzed the DJIA database from 1900 to 2002 as well as 65 companies trading in the LIFFE market of futures and 12 of the major European and American treasury bonds. In all cases, we find a twofold dynamics driving the financial evolution depending on whether the previous price went up or down. We conjecture that this effect is universal and intrinsic to all markets.
PACS: 89.65.Gh – Economics; econophysics, financial markets, business and management / 05.45.Tp – Time series analysis / 87.23.Ge – Dynamics of social systems
© EDP Sciences, Società Italiana di Fisica, Springer-Verlag, 2004
