Bil Łukasz, Grech Dariusz, Zienowicz Magdalena
Faculty of Physics, University of Warsaw, 5 Pasteur Str., PL-02-093 Warsaw, Poland.
Institute of Theoretical Physics, University of Wrocław, 9 Max Born Sq., PL-50-204 Wrocław, Poland.
PLoS One. 2017 Nov 30;12(11):e0188541. doi: 10.1371/journal.pone.0188541. eCollection 2017.
We study how the approach grounded on non-extensive statistical physics can be applied to describe and distinguish different stages of the stock and money market development. A particular attention is given to asymmetric behavior of fat tailed distributions of positive and negative returns. A new method to measure this asymmetry is proposed. It is based on the value of the non-extensive Tsallis parameter q. The new quantifier of the relative asymmetry level between tails in terms of the Tsallis parameters q± is provided to analyze the effect of memory in data caused by nonlinear autocorrelations. The presented analysis takes into account data of separate stocks from the main developing stock market in Europe, i.e., the Warsaw Stock Exchange (WSE) in Poland and-for comparison-data from the most mature money market (Forex). It is argued that the proposed new quantifier is able to describe the stage of market development and its robustness to speculation. The main strength is put on a description and interpretation of the asymmetry between statistical properties of positive and negative returns for various stocks and for diversified time-lags Δt of data counting. The particular caution in this context is addressed to the difference between intraday and interday returns. Our search is extended to study memory effects and their dependence on the quotation frequency for similar large companies-owners of food-industrial retail supermarkets acting on both Polish and European markets (Eurocash, Jeronimo-Martins, Carrefour, Tesco)-but traded on various European stock markets of diversified economical maturity (respectively in Warsaw, Lisbon, Paris and London). The latter analysis seems to indicate quantitatively that stocks from the same economic sector traded on different markets within European Union (EU) may be a target of diversified level of speculations involved in trading independently on the true economic situation of the company. Our work thus gives indications that the statement:" where you are is more important than who you are" is true on trading markets.
我们研究基于非广延统计物理学的方法如何应用于描述和区分股票市场与货币市场发展的不同阶段。特别关注正回报和负回报的厚尾分布的不对称行为。提出了一种测量这种不对称性的新方法。它基于非广延的Tsallis参数q的值。提供了一种根据Tsallis参数q±来衡量尾部之间相对不对称水平的新量化指标，以分析由非线性自相关引起的数据中的记忆效应。所呈现的分析考虑了来自欧洲主要发展中股票市场（即波兰的华沙证券交易所（WSE））的个别股票数据，以及作为比较的来自最成熟货币市场（外汇市场）的数据。有人认为，所提出的新量化指标能够描述市场发展阶段及其对投机的稳健性。主要重点在于描述和解释各种股票以及不同数据计数时间滞后Δt下正回报和负回报统计特性之间的不对称性。在这种情况下，特别要注意日内回报和日间回报之间的差异。我们的研究范围扩大到研究记忆效应及其对报价频率的依赖性，这些公司是在波兰和欧洲市场都有业务的食品工业零售超市的大型类似公司所有者（Eurocash、Jeronimo-Martins、家乐福、乐购），但在经济成熟度不同的各种欧洲股票市场上交易（分别在华沙、里斯本、巴黎和伦敦）。后一项分析似乎定量地表明，在欧盟内不同市场交易的同一经济部门的股票可能是独立于公司真实经济状况进行交易时涉及的不同程度投机的目标。因此，我们的工作表明，“你所处的位置比你是谁更重要”这句话在交易市场上是正确的。
