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Conditional dynamics driving financial markets

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Abstract.

We revisit the problem of daily correlations in speculative prices and report empirical evidences on the existence of what we term a conditional or dual dynamics driving the evolution of financial assets. This dynamics is detected in several markets around the world and for different historical periods. In particular, we have analyzed the DJIA database from 1900 to 2002 as well as 65 companies trading in the LIFFE market of futures and 12 of the major European and American treasury bonds. In all cases, we find a twofold dynamics driving the financial evolution depending on whether the previous price went up or down. We conjecture that this effect is universal and intrinsic to all markets.

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Authors and Affiliations

  1. Departament de Física Fonamental, Universitat de Barcelona, Avinguda Diagonal 647, 08028, Barcelona, Spain

    M. Boguñá & J. Masoliver

Authors
  1. M. Boguñá
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  2. J. Masoliver
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Corresponding author

Correspondence to M. Boguñá.

Additional information

Received: 14 April 2004, Published online: 31 August 2004

PACS:

89.65.Gh Economics; econophysics, financial markets, business and management - 05.45.Tp Time series analysis - 87.23.Ge Dynamics of social systems

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Boguñá, M., Masoliver, J. Conditional dynamics driving financial markets. Eur. Phys. J. B 40, 347–352 (2004). https://doi.org/10.1140/epjb/e2004-00269-7

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  • DOI: https://doi.org/10.1140/epjb/e2004-00269-7

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