University of Warsaw Describes Findings in Life Science Research (Asymmetry of price returns-Analysis and perspectives from a non-extensive statistical physics point of view)

By a News Reporter-Staff News Editor at Life Science Weekly -- Fresh data on Life Science Research are presented in a new report. According to news reporting originating in Warsaw, Poland, by NewsRx journalists, research stated, “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.”

The news reporters obtained a quote from the research from the University of Warsaw, “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 Dt 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.”

According to the news reporters, the research concluded: “Our work thus gives indications that the statement:’ where you are is more important than who you are’ is true on trading markets.”

For more information on this research see: Asymmetry of price returns-Analysis and perspectives from a non-extensive statistical physics point of view. Plos One , 2017;12(11):e0188541. (Public Library of Science - www.plos.org; Plos One - www.plosone.org)

Our news correspondents report that additional information may be obtained by contacting L. Bil, Faculty of Physics, University of Warsaw, 5 Pasteur Str, PL-02-093 Warsaw, Poland. Additional authors for this research include D. Grech and M. Zienowicz.

The direct object identifier (DOI) for that additional information is: https://doi.org/10.1371/journal.pone.0188541. This DOI is a link to an online electronic document that is either free or for purchase, and can be your direct source for a journal article and its citation.

Our reports deliver fact-based news of research and discoveries from around the world. Copyright 2018, NewsRx LLC

CITATION: (2018-01-02), University of Warsaw Describes Findings in Life Science Research (Asymmetry of price returns-Analysis and perspectives from a non-extensive statistical physics point of view), Life Science Weekly, 220, ISSN: 1552-2474, BUTTER® ID: 014912872

From the newsletter Life Science Weekly.
https://www.newsrx.com/Butter/#!Search:a=14912872

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