Correlations and response: Absence of detailed balance on the stock market

János Kertész, László Kullmann, Adam G. Zawadowski, R. Karádi, Kimmo Kaski

Research output: Contribution to journalConference articlepeer-review

Abstract (may include machine translation)

In and near thermal equilibrium microscopic reversibility resulting in detailed balance has specific consequences like the symmetry of time dependent cross correlation (TDCC) functions and fluctuation dissipation theorem. In this paper we study some consequences of the absence of microscopic reversibility on financial processes. By analyzing high resolution data we find asymmetric TDCC functions indicating dominance of some companies in the price formation procedure. We show that in the Lux-Marchesi multi agent market model spontaneous fluctuations decay differently from perturbations caused by external effects.

Original languageEnglish
Pages (from-to)74-80
Number of pages7
JournalPhysica A: Statistical Mechanics and its Applications
Volume324
Issue number1-2
DOIs
StatePublished - 1 Jun 2003
Externally publishedYes
EventProceedings of the International Econophysics Conference - Bali, Indonesia
Duration: 29 Aug 200231 Aug 2002

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