标题： 时间尺度对股票指数收益损失不对称性的影响 显示英文标题

标题： Time-scale effects on the gain-loss asymmetry in stock indices

摘要： 收益损失不对称性，在股票指数的逆统计中被观察到，对于超过$2\%$的对数收益率水平是存在的，这是指数中非皮尔逊类型的自相关性的结果。 这些非皮尔逊类型的相关性也可以看作是功能相关的每日波动率，在有限的时间间隔内延伸。 使用一种广义的时间窗口打乱方法来证明这种自相关性的存在。 它们的特征时间尺度被证明比以前认为的要小（小于$25$个交易日）。 还发现，随着程序交易在股票市场交易中的出现，这个特征时间尺度已经减小。 还建立了与杠杆效应的联系。 显示英文摘要

摘要： The gain-loss asymmetry, observed in the inverse statistics of stock indices is present for logarithmic return levels that are over $2\%$, and it is the result of the non-Pearson type auto-correlations in the index. These non-Pearson type correlations can be viewed also as functionally dependent daily volatilities, extending for a finite time interval. A generalized time-window shuffling method is used to show the existence of such auto-correlations. Their characteristic time-scale proves to be smaller (less than $25$ trading days) than what was previously believed. It is also found that this characteristic time-scale has decreased with the appearance of program trading in the stock market transactions. Connections with the leverage effect are also established.