Investment horizons : A time-dependent measure of asset performance

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We review a resent {\em time-dependent} performance measure for economical time series -- the (optimal) investment horizon approach. For stock indices, the approach shows a pronounced gain-loss asymmetry that is {\em not} observed for the individual stocks that comprise the index. This difference may hint towards an synchronize of the draw downs of the stocks.
6 pages Latex, 3 figures; To appear in "Practical Fruits of Econophysics" ed H. Takayasu (Springer Verlag, 2005)

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Physics and Society, Trading and Market Microstructure

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http://salesiana.dossiersoluciones.com/handle/123456789/209003

Consulte el texto completo en el siguiente enlace:

https://arxiv.org/abs/physics/0504150
 http://arxiv.org/abs/physics/0504150

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arXiv