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

Marc Potters () and Jean-Philippe Bouchaud
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Jean-Philippe Bouchaud: Science & Finance, Capital Fund Management

No 50002, Science & Finance (CFM) working paper archive from Science & Finance, Capital Fund Management

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.

JEL-codes: G10 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-fin and nep-fmk
Date: 2003-04

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