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arXiv · 1308.0669

Time-reversal asymmetry in financial systems

X. F. Jiang·T. T. Chen·B. Zheng
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Abstract

We investigate the large-fluctuation dynamics in financial markets, based on the minute-to-minute and daily data of the Chinese Indices and German DAX. The dynamic relaxation both before and after the large fluctuations is characterized by a power law, and the exponents $p_\pm$ usually vary with the strength of the large fluctuations. The large-fluctuation dynamics is time-reversal symmetric at the time scale in minutes, while asymmetric at the daily time scale. Careful analysis reveals that the time-reversal asymmetry is mainly induced by external forces. It is also the external forces which drive the financial system to a non-stationary state. Different characteristics of the Chinese and German stock markets are uncovered.

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X. F. Jiang, T. T. Chen, B. Zheng. 2013-08-03. Time-reversal asymmetry in financial systems. https://doi.org/10.1016/j.physa.2013.07.006

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