Statistical Properties of Demand Fluctuation in the Financial Market

Details Statistical Properties of Demand Fluctuation in the Financial Market Statistical Properties of Demand Fluctuation in the Financial Market

2005-02-15

arxiv.org/abs/physics/0502084v1

Physics

Physics and Society

Submitted to Quantitative Finance 1 year back, presently waiting for last 4 months response from Plerou et al

Scientific paper

We examine the out-of-equilibrium phase reported by Plerou {\it et. al.} in Nature, {\bf 421}, 130 (2003) using the data of the New York stock market (NYSE) between the years 2001 --2002. We find that the observed two phase phenomenon is an artifact of the definition of the control parameter coupled with the nature of the probability distribution function of the share volume. We reproduce the two phase behavior by a simple simulation demonstrating the absence of any collective phenomenon. We further report some interesting statistical regularities of the demand fluctuation of the financial market.

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