Spurious switching points in traded stock dynamics
Tuesday, May 15, 2012 - 09:30
in Mathematics & Economics
Physicists have rebuffed the existence of power laws governing the dynamics of traded stock volatility, volume and intertrade times at times of stock price extrema. They did this by demonstrating that what appeared as "switching points" in financial markets trends was due to a bias in the interpretation of market data statistics. This study by Vladimir Filimonov and Didier Sornette from the Department of Management, Technology and Economics at ETH Zurich in Switzerland is about to be published in the European Physical Journal B.