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Abstract: We demonstrate that the gain-loss asymmetry observed for stock indicesvanishes if the temporal dependence structure is destroyed by scrambling thetime series. We also show that an artificial index constructed by a simpleaverage of a number of individual stocks display gain-loss asymmetry - thisallows us to explicitly analyze the dependence between the index constituents.We consider mutual information and correlation based measures and show that thestock returns indeed have a higher degree of dependence in times of marketdownturns than upturns.



Autor: Johannes Vitalis Siven, Jeffrey Todd Lins

Fuente: https://arxiv.org/



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