More stylized facts of financial markets: leverage effect and downside correlations

We discuss two more universal features of stock markets: the so-called leverage effect (a negative correlation between past returns and future volatility), and the increased downside correlations. For individual stocks, the leverage correlation can be rationalized in terms of a new ‘retarded’ model...

Full description

Bibliographic Details

Published in:	Physica A Vol. 299; no. 1; pp. 60 - 70
Main Authors:	Bouchaud, Jean-Philippe, Potters, Marc
Format:	Journal Article
Language:	English
Published:	Elsevier B.V 01.10.2001 Elsevier
Subjects:	Empirical finance Equity cross-correlations General Physics Physics Price-volatility correlations 02.50.Le Equity cross-correlations 87.23.Ge 89.65.Gh 05.45.Tp Price-volatility correlations Empirical finance
ISSN:	0378-4371, 1873-2119, 0378-4371
Online Access:	Get full text
Tags:	Add Tag No Tags, Be the first to tag this record!