| Title: |
Optimal Investment Horizons for Stocks and Markets |
| Authors: |
Johansen, A.; Simonsen, I.; Jensen, M. H. |
| Publication Year: |
2006 |
| Collection: |
Physics (Other); Quantitative Finance |
| Subject Terms: |
Physics - Physics and Society; Quantitative Finance - Statistical Finance |
| Description: |
The inverse statistics is the distribution of waiting times needed to achieve a predefined level of return obtained from (detrended) historic asset prices \cite{optihori,gainloss}. Such a distribution typically goes through a maximum at a time coined the {\em optimal investment horizon}, $\tau^*_\rho$, which defines the most likely waiting time for obtaining a given return $\rho$. By considering equal positive and negative levels of return, we reported in \cite{gainloss} on a quantitative gain/loss asymmetry most pronounced for short horizons. In the present paper, the inverse statistics for 2/3 of the individual stocks presently in the DJIA is investigated. We show that this gain/loss asymmetry established for the DJIA surprisingly is {\em not} present in the time series of the individual stocks nor their average. This observation points towards some kind of collective movement of the stocks of the index (synchronization).; Comment: Subm. to Physica A as Conference Proceedings of Econophysics Colloquium, ANU Canberra, 13-17 Nov. 2005. 6 pages including figures |
| Document Type: |
Working Paper |
| DOI: |
10.1016/j.physa.2006.04.030 |
| Access URL: |
http://arxiv.org/abs/physics/0601002 |
| Accession Number: |
edsarx.physics/0601002 |
| Database: |
arXiv |