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Toward a phase diagram for stocks

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  • Ivanova, K

Abstract

A display of the tentatively basic parameters of stocks, i.e. the daily closing price and the daily transaction volume is presented eliminating the time variable between them. The “phase diagram” looks like a triangular region similar to the two-phase region of traffic diagrams. The data is taken for two companies (SGP and OXHP) which present different long-range correlations in the closing price value as examined by the linearly Detrended Fluctuation Analysis (DFA) statistical method. Substructures are observed in the “phase diagram” as due to changes in management policy, e.g. stock splits.

Suggested Citation

  • Ivanova, K, 1999. "Toward a phase diagram for stocks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 270(3), pages 567-577.
    • Handle: RePEc:eee:phsmap:v:270:y:1999:i:3:p:567-577
    DOI: 10.1016/S0378-4371(99)00191-0
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    References listed on IDEAS

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    1. A. Bershadskii, 1999. "Multifractal critical phenomena in traffic and economic processes," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 11(2), pages 361-364, September.
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    Cited by:

    1. Melecký, Jan & Sergyeyev, Artur, 2008. "A simple finite-difference stock market model involving intrinsic value," Chaos, Solitons & Fractals, Elsevier, vol. 38(3), pages 769-777.
    2. Ferreira, Paulo, 2018. "Long-range dependencies of Eastern European stock markets: A dynamic detrended analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 505(C), pages 454-470.

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