More stylized facts of !nancial markets: leverage e&ect and downside correlations

  • Jean-Philippe Bouchaudab, Marc Pottersb
  • Published 2001

Abstract

We discuss two more universal features of stock markets: the so-called leverage e&ect (a negative correlation between past returns and future volatility), and the increased downside correlations. For individual stocks, the leverage correlation can be rationalized in terms of a new ‘retarded’ model which interpolates between a purely additive and a purely… (More)

Topics

4 Figures and Tables

Slides referencing similar topics