  We perform a quantitative analysis of the gain/loss asymmetry for financial
time series by using a Bayesian approach. In particular, we focus on some
selected indices and analyze the statistical significance of the asymmetry
amount through a Bayesian generalization of the t-Test, which relaxes the
normality assumption on the underlying distribution. We propose two different
models for data distribution, we study the convergence of our method and we
provide several graphical representations of our numerical results. Finally, we
perform a sensitivity analysis with respect to model parameters in order to
study the reliability and robustness of our results.
