Comment on: "Two-phase behaviour of financial markets"

In a recent article [Nature 421, 130 (2003)], Plerou, Gopikrishnan and Stanley report some evidence for an intriguing two-phase behavior of financial markets when studying the distribution of volume imbalance conditional to the local intensity of its fluctuations. We show here that this apparent phase transition is a generic consequence of the conditioning and exists even in the absence of any non trivial collective phenomenon.

MoreLess

Year of publication:	2003-04
Authors:	Bouchaud, Jean-Philippe
Institutions:	Science & Finance

Check Google Scholar |

More access options

In German libraries (KVK)

I need help

More details

Series:	Science & Finance (CFM) working paper archive.
Type of publication:	Book / Working Paper
Notes:	Number 50002
Classification:	G10 - General Financial Markets. General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005129574