Statistical properties of demand fluctuation in the financial market

DOI10.1080/14697680500397524MaRDI QIDQ3375394zbMATH OpenOpenAlexFDO

Authors K. Matia, Kazuko Yamasaki

Publication date 8 March 2006

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/physics/0502084

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26) Consumer behavior, demand theory (91B42) Statistical methods; economic indices and measures (91B82) Economic time series analysis (91B84)

Abstract: We examine the out-of-equilibrium phase reported by Plerou {it et. al.} in Nature, {�f 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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