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The gain/loss asymmetry is a well known stylized fact: It basically states that real financial time series take longer for going up than going down.

My question
Are you aware of any artificial markets (multi-agent simulations) that are capable of reproducing this stylized fact of real markets?

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    $\begingroup$ Theoretically this should result from some risk aversion in the utility function forcing multiple agents to go to a lower risk asset at the same time, you will need heterogenous agents for this to work (in order for your market to clear). From my last survey of the agent based modelling work on this there was not much done. This is not a "good" answer but may set you on the right direction in finding "useful" utility functions that can drive the behaviour to obtain this fact. $\endgroup$ – Kyle Balkissoon Jul 31 '15 at 15:57
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Is this basically a version of the Leverage Effect? If so then there is an extensive literature on that and you might find something if you google with those keywords.

For example is something like the following what you are looking for?

Agent-based model with asymmetric trading and herding for complex financial systems

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  • $\begingroup$ Well, both effects are not the same but they are closely linked, so I upvoted and accepted the answer. Thank you. $\endgroup$ – vonjd Aug 19 '15 at 15:46
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The following paper builds a multi-agent model where agents have asymmetric risk attitudes consistent with behavioural finance. The gain/loss asymmetry can be reproduced by this model:

Investors’ risk attitudes and stock price fluctuation asymmetry (2011) by Yu Zhang, Honggang Li

Abstract

Price rise/fall asymmetry, which indicates enduring but modest rises and sudden short-term falls, is a ubiquitous phenomenon in stock markets throughout the world. Instead of the widely used time series method, we adopt inverse statistics from turbulence to analyze this asymmetry. To explore its underlying mechanism, we build a multi-agent model with two kinds of investors, which are specifically referred to as fundamentalists and chartists. Inspired by Kahneman and Tversky’s claim regarding peoples’ asymmetric psychological responses to the equivalent levels of gains and losses, we assume that investors take different risk attitudes to gains and losses and adopt different trading strategies. The simulation results of the model developed herein are consistent with empirical work, which may support our conjecture that investors’ asymmetric risk attitudes might be one origin of rise/fall asymmetry.

Unfortunately the paper is behind a paywall and I haven't found a freely available version. When you find one I will add the link to it here.

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