I. Simonsen, A. Johansen, and M.H. Jensen Investment horizons : A time-dependent measure of asset performance p.246 in Practical Fruits of Econophysics (Springer Verlag, 2006)
Abstract
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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| (Journal Version) | (physics/0504150) |