Inverse Statistics for Stocks and Markets

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dc.creatorJohansen, A.
dc.creatorSimonsen, I.
dc.creatorJensen, M. H.
dc.date2005-11-10
dc.date.accessioned2026-07-07T12:07:40Z
dc.date.available2026-07-07T12:07:40Z
dc.descriptionIn recent publications, the authors have considered inverse statistics of the Dow Jones Industrial Averaged (DJIA) [1-3]. Specifically, we argued that the natural candidate for such statistics is the investment horizons distribution. This is the distribution of waiting times needed to achieve a predefined level of return obtained from detrended historic asset prices. Such a distribution typically goes through a maximum at a time coined the {\em optimal investment horizon}, $τ^*_ρ$, which defines the most likely waiting time for obtaining a given return $ρ$. By considering equal positive and negative levels of return, we reported in [2,3] on a quantitative gain/loss asymmetry most pronounced for short horizons. In the present paper, this gain/loss asymmetry is re-visited for 2/3 of the individual stocks presently in the DJIA. We show that this gain/loss asymmetry established for the DJIA surprisingly is {\em not} present in the time series of the individual stocks. The most reasonable explanation for this fact is that the gain/loss asymmetry observed in the DJIA as well as in the SP500 and Nasdaq are due to movements in the market as a whole, {\it i.e.}, cooperative cascade processes (or ``synchronization'') which disappear in the inverse statistics of the individual stocks.
dc.descriptionRevtex 13 pages, including 15 figures
dc.identifierhttps://arxiv.org/abs/physics/0511091
dc.identifierhttp://arxiv.org/abs/physics/0511091
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/209048
dc.subjectPhysics and Society
dc.subjectStatistical Mechanics
dc.subjectData Analysis, Statistics and Probability
dc.subjectStatistical Finance
dc.titleInverse Statistics for Stocks and Markets
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