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

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  • Marc Potters

    (Science & Finance, Capital Fund Management)

  • Jean-Philippe Bouchaud

    (Science & Finance, Capital Fund Management
    CEA Saclay;)

Abstract

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.

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Paper provided by Science & Finance, Capital Fund Management in its series Science & Finance (CFM) working paper archive with number 50002.

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Date of creation: Apr 2003
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Handle: RePEc:sfi:sfiwpa:50002

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