Symmetry Breaking in Stock Demand
| dc.creator | Plerou, Vasiliki | |
| dc.creator | Gopikrishnan, Parameswaran | |
| dc.creator | Stanley, H. Eugene | |
| dc.date | 2001-11-19 | |
| dc.date.accessioned | 2026-07-07T12:06:37Z | |
| dc.date.available | 2026-07-07T12:06:37Z | |
| dc.description | Scale-free distributions and correlation functions found in financial data are reminiscent of the scale invariance of physical observables in the vicinity of a critical point. Here, we present empirical evidence for a transition phenomenon, accompanied by a symmetry breaking, in the investors' demand for stocks. We study the volume imbalance $Ω$ -- difference between the number of shares traded in buyer-initiated and seller-initiated trades in a time interval $Δt$ -- conditioned on $Σ$ which is defined as the local first moment of $Ω$ in $Δt$. We find that the conditional distribution $P(Ω| Σ)$ undergoes a qualitative change in behavior as $Σ$ increases beyond a critical threshold $Σ_c$. For $Σ<Σ_c$, $P(Ω|Σ)$ displays a maximum at $Ω=0$, i.e., trades in $Δt$ are equally likely to be buyer initiated or seller initiated. For $Σ> Σ_c$, $Ω=0$ becomes a local minimum and two new maxima $Ω_{+}$ and $Ω_{-}$ appear at non-zero values of $Ω$, i.e., trades in $Δt$ are either predominantly buyer initiated or predominantly seller initiated. We interpret these results using a Langevin equation with multiplicative noise. | |
| dc.description | 5 pages, 4 figures (two-column format, revtex) | |
| dc.identifier | https://arxiv.org/abs/cond-mat/0111349 | |
| dc.identifier | http://arxiv.org/abs/cond-mat/0111349 | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/208705 | |
| dc.subject | Statistical Mechanics | |
| dc.subject | Trading and Market Microstructure | |
| dc.title | Symmetry Breaking in Stock Demand | |
| dc.type | text |