{"paper":{"title":"Time-scale effects on the gain-loss asymmetry in stock indices","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":["physics.soc-ph"],"primary_cat":"q-fin.ST","authors_text":"B\\'alint Zsolt Nagy, Bulcs\\'u S\\'andor, Ingve Simonsen, Zolt\\'an N\\'eda","submitted_at":"2016-08-16T07:48:10Z","abstract_excerpt":"The gain-loss asymmetry, observed in the inverse statistics of stock indices is present for logarithmic return levels that are over $2\\%$, and it is the result of the non-Pearson type auto-correlations in the index. These non-Pearson type correlations can be viewed also as functionally dependent daily volatilities, extending for a finite time interval. A generalized time-window shuffling method is used to show the existence of such auto-correlations. Their characteristic time-scale proves to be smaller (less than $25$ trading days) than what was previously believed. It is also found that this "},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1608.04506","kind":"arxiv","version":2},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"}