Statistical Properties of Demand Fluctuation in the Financial Market

Simple item page
dc.creatorMatia, Kaushik
dc.creatorYamasaki, Kazuko
dc.date2005-02-15
dc.date.accessioned2026-07-07T12:07:29Z
dc.date.available2026-07-07T12:07:29Z
dc.descriptionWe 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.
dc.descriptionSubmitted to Quantitative Finance 1 year back, presently waiting for last 4 months response from Plerou et al
dc.identifierhttps://arxiv.org/abs/physics/0502084
dc.identifierhttp://arxiv.org/abs/physics/0502084
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/208987
dc.subjectPhysics and Society
dc.subjectStatistical Finance
dc.titleStatistical Properties of Demand Fluctuation in the Financial Market
dc.typetext

Files

Collections

arXiv