Abstract
We study how the approach grounded on non-extensive statistical physics can be applied to describe and distinguish different stages of the stock and money market development. A particular attention is given to asymmetric behavior of fat tailed distributions of positive and negative returns. A new method to measure this asymmetry is proposed. It is based on the value of the non-extensive Tsallis parameter q. The new quantifier of the relative asymmetry level between tails in terms of the Tsallis parameters q± is provided to analyze the effect of memory in data caused by nonlinear autocorrelations. The presented analysis takes into account data of separate stocks from the main developing stock market in Europe, i.e., the Warsaw Stock Exchange (WSE) in Poland and—for comparison—data from the most mature money market (Forex). It is argued that the proposed new quantifier is able to describe the stage of market development and its robustness to speculation. The main strength is put on a description and interpretation of the asymmetry between statistical properties of positive and negative returns for various stocks and for diversified time-lags Δt of data counting. The particular caution in this context is addressed to the difference between intraday and interday returns. Our search is extended to study memory effects and their dependence on the quotation frequency for similar large companies—owners of food-industrial retail supermarkets acting on both Polish and European markets (Eurocash, Jeronimo-Martins, Carrefour, Tesco)—but traded on various European stock markets of diversified economical maturity (respectively in Warsaw, Lisbon, Paris and London). The latter analysis seems to indicate quantitatively that stocks from the same economic sector traded on different markets within European Union (EU) may be a target of diversified level of speculations involved in trading independently on the true economic situation of the company. Our work thus gives indications that the statement:” where you are is more important than who you are” is true on trading markets.
Highlights
The behavior of financial markets due to rich, complex and intriguing dynamics of stock and financial trading has been in focus of interest of physicists for a quite long time
In this paper we used the methods of non-extensive statistical physics to describe quantitatively the statistics of returns on stock and money markets
We provided the interpretation how parameters of complex financial systems evaluated within the approach based on non-extensive statistical physics can be used to describe the current state of the market and in particular the balance between fear to loose and the temptation to earn—the main engine of any trading
Summary
OPEN ACCESS Citation: Bil Ł, Grech D, Zienowicz M (2017) Asymmetry of price returns—Analysis and perspectives from a non-extensive statistical physics point of view. Data Availability Statement: All relevant data are within the paper (footnotes and bibliography).
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