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2008 | 114 | 3 | 569-574
Article title

New Results on Gain-Loss Asymmetry for Stock Markets Time Series

Content
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EN
Abstracts
EN
A method called investment horizon approach was successfully used to analyze stock markets of many different countries. Here we apply a version of this method to study characteristics of the Polish Pioneer mutual funds. We decided to analyze Pioneer because of its longest involvement in investing on the Polish market. Moreover, it apparently manages the biggest amount of money among all similar institutions in Poland. We compare various types of Pioneer mutual funds, characterized by different financial instruments they invest in. Previously, investment horizon approach produced different characteristics of emerging markets as opposed to mature ones, providing a possible way to quantify stock market maturity. Here we generalize the above mentioned results for mutual funds of various types.
Keywords
EN
Contributors
author
  • Faculty of Mathematics and Natural Sciences, Card. Stefan Wyszyński University, Warsaw, Poland
author
  • Faculty of Mathematics and Natural Sciences, Card. Stefan Wyszyński University, Warsaw, Poland
author
  • Department of Informatics, Warsaw University of Life Sciences - SGGW, Warsaw, Poland
author
  • Department of Informatics, Warsaw University of Life Sciences - SGGW, Warsaw, Poland
  • Institute of Physics, Polish Academy of Sciences, Warsaw, Poland
  • Faculty of Mathematics and Natural Sciences, Card. Stefan Wyszyński University, Warsaw, Poland
  • Institute of Physics, Polish Academy of Sciences, Warsaw, Poland
References
  • 1. R.N. Mantegna, H.E. Stanley, An Introduction to Econophysics: Correlations and Complexity in Finance, CUP, Cambridge, England 2000
  • 2. N.F. Johnson, P. Jefferies, P.M. Hui, Financial Market Complexity, Oxford University Press, Oxford 2003
  • 3. J.P. Bouchaud, M. Potters, Theory of Financial Risks: from Statistical Physics to Risk Management, Cambridge University Press, Cambridge 2000
  • 4. M.H. Jensen, A. Johansen, F. Petroni, I. Simonsen, Physica A 340, 678 (2004)
  • 5. M.H. Jensen, A. Johansen, I. Simonsen, Int. J. Mod. Phys. B 17, 4003 (2003)
  • 6. M.H. Jensen, A. Johansen, F. Petroni, I. Simonsen, Physica A 324, 338 (2003)
  • 7. I. Simonsen, M.H. Jensen, A. Johansen, Eur. Phys. J. B 27, 583 (2002)
  • 8. M.H. Jensen, A. Johansen, I. Simonsen, F. Petroni, Physica A 340, 678 (2004)
  • 9. M.A. Załuska-Kotur, K. Karpio, A. Orłowski, Acta Phys. Pol. B 37, 3187 (2006)
  • 10. K. Karpio, M. Załuska-Kotur, A. Orłowski, Physica A 375, 599 (2007)
  • 11. P.T.H. Ahlgren, M.H. Jensen, I. Simonsen, R. Donangelo, K. Sneppen, Physica A 3831, (2007)
Document Type
Publication order reference
Identifiers
YADDA identifier
bwmeta1.element.bwnjournal-article-appv114n311kz
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