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Quantitative Finance · Begrippenlijst

Wat is Gain–loss asymmetry?

Ook bekend als: gain--loss asymmetry

Definition 5.4 Research Craft: Predictors, Backtests, Measurement, Portfolios · Hoofdstuk 5 — Stylised Facts of Returns

Gain–loss asymmetry is the observation that stock prices and indices have large falls but not equally large rises: the distribution of returns is negatively skewed, and more so at horizons of weeks than of days.

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