Time spans between price maxima and price minima in stock markets

We empirically investigate the distribution of time spans between price maxima and price minima in international stock markets, where a time span is defined as the time interval between a local price minimum and a local price maximum, and local price extrema are identified by a method introduced by Preis and Stanley (Preis et al. (2011), Preis (2011), Preis and Stanley (2011, 2010), Preis (2010), Preis and Stanley (2010), Stanley et al. (2010), Preis and Stanley (2009)). The empirical results show that both the tail distributions of time spans from local price maxima to local price minima and the tail distributions of time spans from local price minima to local price maxima yield an exponential distribution. In addition, price rise/fall asymmetry is observed by comparing the values of the exponents of the distribution curves. These results are robust across eight representative stock markets.