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Quantitative Finance 2001
Time-reversal asymmetry in Cont-Bouchaud stock market modelDOI: 10.1016/S0378-4371(01)00270-9 Abstract: The percolation model of stock market speculation allows an asymmetry (in the return distribution) leading to fast downward crashes and slow upward recovery. We see more small upturns and more intermediate downturns.
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