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arxiv: physics/0504150 · v1 · submitted 2005-04-21 · ⚛️ physics.soc-ph · q-fin.TR

Investment horizons : A time-dependent measure of asset performance

classification ⚛️ physics.soc-ph q-fin.TR
keywords approachinvestmentmeasureperformancestockstime-dependentassetasymmetry
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We review a resent {\em time-dependent} performance measure for economical time series -- the (optimal) investment horizon approach. For stock indices, the approach shows a pronounced gain-loss asymmetry that is {\em not} observed for the individual stocks that comprise the index. This difference may hint towards an synchronize of the draw downs of the stocks.

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