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Stock Price Fluctuations

The phenomenon, the asymmetry between stock price rise and fall speed, is referred to as the stock price fluctuation asymmetry in our study. It is a general feature of stock indices. Cont claims that the pattern of large downward movements followed with unmatched smaller upward movements is a stylized fact of stock prices, and names it as the gain-loss asymmetry. Chiang and Stauffer reproduce small upturns and more intermediate downturns by using a Cont-Bouchaud model

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