Inverse Statistics in Economics : The gain-loss asymmetry

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dc.creatorJensen, Mogens H.
dc.creatorJohansen, Anders
dc.creatorSimonsen, Ingve
dc.date2002-11-02
dc.date.accessioned2026-07-07T12:06:44Z
dc.date.available2026-07-07T12:06:44Z
dc.descriptionInverse statistics in economics is considered. We argue that the natural candidate for such statistics is the investment horizons distribution. This distribution of waiting times needed to achieve a predefined level of return is obtained from (often detrended) historic asset prices. Such a distribution typically goes through a maximum at a time called the {\em optimal investment horizon}, $τ^*_ρ$, since this defines the most likely waiting time for obtaining a given return $ρ$. By considering equal positive and negative levels of return, we report on a quantitative gain-loss asymmetry most pronounced for short horizons. It is argued that this asymmetry reflects the market dynamics and we speculate over the origin of this asymmetry.
dc.descriptionLatex, 6 pages, 3 figures
dc.identifierhttps://arxiv.org/abs/cond-mat/0211039
dc.identifierhttp://arxiv.org/abs/cond-mat/0211039
dc.identifierPhysica A 324, 338 (2003).
dc.identifierdoi:10.1016/S0378-4371(02)01884-8
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/208740
dc.subjectSoft Condensed Matter
dc.subjectStatistical Mechanics
dc.subjectStatistical Finance
dc.titleInverse Statistics in Economics : The gain-loss asymmetry
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