Statistical Properties of Demand Fluctuation in the Financial Market
Physics and Society
2008-12-02 v1 Statistical Finance
Abstract
We examine the out-of-equilibrium phase reported by Plerou {\it et. al.} in Nature, {\bf 421}, 130 (2003) using the data of the New York stock market (NYSE) between the years 2001 --2002. We find that the observed two phase phenomenon is an artifact of the definition of the control parameter coupled with the nature of the probability distribution function of the share volume. We reproduce the two phase behavior by a simple simulation demonstrating the absence of any collective phenomenon. We further report some interesting statistical regularities of the demand fluctuation of the financial market.
Keywords
Cite
@article{arxiv.physics/0502084,
title = {Statistical Properties of Demand Fluctuation in the Financial Market},
author = {Kaushik Matia and Kazuko Yamasaki},
journal= {arXiv preprint arXiv:physics/0502084},
year = {2008}
}
Comments
Submitted to Quantitative Finance 1 year back, presently waiting for last 4 months response from Plerou et al