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

Author

Listed:
  • 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.

Suggested Citation

  • Marc Potters & Jean-Philippe Bouchaud, 2003. "Comment on: "Two-phase behaviour of financial markets"," Science & Finance (CFM) working paper archive 50002, Science & Finance, Capital Fund Management.
    • Handle: RePEc:sfi:sfiwpa:50002
    as

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    Cited by:

    1. Kwapień, J. & Drożdż, S. & Speth, J., 2003. "Alternation of different fluctuation regimes in the stock market dynamics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 330(3), pages 605-621.
    2. Anthony E. Krzesinski & Andre Costa & Maya Ramakrishnan & Peter G. Taylor, 2007. "A Comment On Two-Phase Behavior Of Financial Markets," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 10(01), pages 89-93.
    3. 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.

    More about this item

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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