Toward a phase diagram for stocks

K Ivanova

Physica A: Statistical Mechanics and its Applications, 1999, vol. 270, issue 3, 567-577

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.

Keywords: Fractal non linear dynamics; Time series analysis; Brownian motion; Classical statistical mechanics (search for similar items in EconPapers)
Date: 1999
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:270:y:1999:i:3:p:567-577

DOI: 10.1016/S0378-4371(99)00191-0

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