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Two phase behaviour and the distribution of volume

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  • Vasiliki Plerou
  • Parameswaran Gopikrishnan
  • H. Eugene Stanley

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  • Vasiliki Plerou & Parameswaran Gopikrishnan & H. Eugene Stanley, 2005. "Two phase behaviour and the distribution of volume," Quantitative Finance, Taylor & Francis Journals, vol. 5(6), pages 519-521.
    • Handle: RePEc:taf:quantf:v:5:y:2005:i:6:p:519-521
    DOI: 10.1080/14697680500406093
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    References listed on IDEAS

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    1. Vasiliki Plerou & Parameswaran Gopikrishnan & H. Eugene Stanley, 2003. "Two-phase behaviour of financial markets," Nature, Nature, vol. 421(6919), pages 130-130, January.
    2. Parameswaran Gopikrishnan & Vasiliki Plerou & Xavier Gabaix & H. Eugene Stanley, 2000. "Statistical Properties of Share Volume Traded in Financial Markets," Papers cond-mat/0008113, arXiv.org.
    3. Kaushik Matia & Kazuko Yamasaki, 2005. "Statistical Properties of Demand Fluctuation in the Financial Market," Papers physics/0502084, arXiv.org.
    4. Kaushik Matia & Kazuko Yamasaki, 2005. "Statistical properties of demand fluctuation in the financial market," Quantitative Finance, Taylor & Francis Journals, vol. 5(6), pages 513-517.
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    Cited by:

    1. Zhaoyuan Li & Maozai Tian, 2017. "A New Method For Dynamic Stock Clustering Based On Spectral Analysis," Computational Economics, Springer;Society for Computational Economics, vol. 50(3), pages 373-392, October.
    2. Kang, Bo Soo & Park, Chanhi & Ryu, Doojin & Song, Wonho, 2015. "Phase transition phenomenon: A compound measure analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 428(C), pages 383-395.
    3. Kozłowska, M. & Denys, M. & Wiliński, M. & Link, G. & Gubiec, T. & Werner, T.R. & Kutner, R. & Struzik, Z.R., 2016. "Dynamic bifurcations on financial markets," Chaos, Solitons & Fractals, Elsevier, vol. 88(C), pages 126-142.
    4. Li, Daye & Nishimura, Yusaku & Men, Ming, 2016. "Why the long-term auto-correlation has not been eliminated by arbitragers: Evidences from NYMEX," Energy Economics, Elsevier, vol. 59(C), pages 167-178.
    5. Hwang, Keunho & Kang, Jangkoo & Ryu, Doojin, 2010. "Phase-transition behavior in the emerging market: Evidence from the KOSPI200 futures market," International Review of Financial Analysis, Elsevier, vol. 19(1), pages 35-46, January.
    6. Kostanjcar, Zvonko & Jeren, Branko & Juretic, Zeljan, 2012. "Impact of uncertainty in expected return estimation on stock price volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(22), pages 5563-5571.
    7. Shanshan Wang & Thomas Guhr, 2017. "Local fluctuations of the signed traded volumes and the dependencies of demands: a copula analysis," Papers 1706.09240, arXiv.org, revised Apr 2018.

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