英文标题：
《Time-scale effects on the gain-loss asymmetry in stock indices》
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作者：
Bulcs\\\'u S\\\'andor, Ingve Simonsen, B\\\'alint Zsolt Nagy and Zolt\\\'an
N\\\'eda
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最新提交年份：
2016
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英文摘要：
The gain-loss asymmetry, observed in the inverse statistics of stock indices is present for logarithmic return levels that are over $2\\%$, and it is the result of the non-Pearson type auto-correlations in the index. These non-Pearson type correlations can be viewed also as functionally dependent daily volatilities, extending for a finite time interval. A generalized time-window shuffling method is used to show the existence of such auto-correlations. Their characteristic time-scale proves to be smaller (less than $25$ trading days) than what was previously believed. It is also found that this characteristic time-scale has decreased with the appearance of program trading in the stock market transactions. Connections with the leverage effect are also established.
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中文摘要：
在股票指数的反向统计中观察到的损益不对称性存在于超过2\\%$的对数回报水平，这是指数中非皮尔逊型自相关的结果。这些非皮尔逊型相关性也可以被视为功能依赖性的日波动率，在有限的时间间隔内延伸。本文用广义时间窗洗牌方法证明了这种自相关的存在性。事实证明，他们的特征时间尺度比之前认为的要小（交易日不到25美元）。研究还发现，随着股票市场交易中程序化交易的出现，这一特征时间尺度有所下降。还建立了与杠杆效应的联系。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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一级分类：Physics 物理学
二级分类：Physics and Society 物理学与社会
分类描述：Structure, dynamics and collective behavior of societies and groups (human or otherwise). Quantitative analysis of social networks and other complex networks. Physics and engineering of infrastructure and systems of broad societal impact (e.g., energy grids, transportation networks).
社会和团体（人类或其他）的结构、动态和集体行为。社会网络和其他复杂网络的定量分析。具有广泛社会影响的基础设施和系统（如能源网、运输网络）的物理和工程。
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