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Statistical properties of demand fluctuation in the financial market

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  • Kaushik Matia
  • Kazuko Yamasaki

Abstract

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  • Kaushik Matia & Kazuko Yamasaki, 2005. "Statistical properties of demand fluctuation in the financial market," Quantitative Finance, Taylor & Francis Journals, vol. 5(6), pages 513-517.
    • Handle: RePEc:taf:quantf:v:5:y:2005:i:6:p:513-517
    DOI: 10.1080/14697680500397524
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    Citations

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    Cited by:

    1. Thomas Lux, 2009. "Applications of Statistical Physics in Finance and Economics," Chapters, in: J. Barkley Rosser Jr. (ed.), Handbook of Research on Complexity, chapter 9, Edward Elgar Publishing.
    2. Kang, Bo Soo & Park, Chanhi & Ryu, Doojin & Song, Wonho, 2015. "Phase transition phenomenon: A compound measure analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 428(C), pages 383-395.
    3. Kozłowska, M. & Denys, M. & Wiliński, M. & Link, G. & Gubiec, T. & Werner, T.R. & Kutner, R. & Struzik, Z.R., 2016. "Dynamic bifurcations on financial markets," Chaos, Solitons & Fractals, Elsevier, vol. 88(C), pages 126-142.
    4. Hwang, Keunho & Kang, Jangkoo & Ryu, Doojin, 2010. "Phase-transition behavior in the emerging market: Evidence from the KOSPI200 futures market," International Review of Financial Analysis, Elsevier, vol. 19(1), pages 35-46, January.
    5. Nobi, Ashadun & Maeng, Seong Eun & Ha, Gyeong Gyun & Lee, Jae Woo, 2014. "Effects of global financial crisis on network structure in a local stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 407(C), pages 135-143.
    6. Vasiliki Plerou & Parameswaran Gopikrishnan & H. Eugene Stanley, 2005. "Two phase behaviour and the distribution of volume," Quantitative Finance, Taylor & Francis Journals, vol. 5(6), pages 519-521.
    7. Shanshan Wang & Thomas Guhr, 2017. "Local fluctuations of the signed traded volumes and the dependencies of demands: a copula analysis," Papers 1706.09240, arXiv.org, revised Apr 2018.

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