Statistical properties of demand fluctuation in the financial market

DOI10.1080/14697680500397524zbMath1134.91552arXivphysics/0502084OpenAlexW1993456489MaRDI QIDQ3375394

Kaushik 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

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

Related Items (5)

A COMMENT ON TWO-PHASE BEHAVIOR OF FINANCIAL MARKETS ⋮ Dynamic bifurcations on financial markets ⋮ Two phase behaviour and the distribution of volume ⋮ Local fluctuations of the signed traded volumes and the dependencies of demands: a copula analysis ⋮ Chaoticity versus stochasticity in financial markets: are daily S\&P 500 return dynamics chaotic?

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