TY - JOUR
T1 - Comment on "Tests of scaling and universality of the distributions of trade size and share volume
T2 - Evidence from three distinct markets"
AU - Rácz, Eva
AU - Eisler, Zoltán
AU - Kertész, János
PY - 2009/6/24
Y1 - 2009/6/24
N2 - In a recent publication, Plerou and Stanley [Phys. Rev. E 76, 046109 (2007)] use the Meerschaert-Scheffler estimator to verify the "inverse half-cubic law" of trade size distributions. We show that this procedure systematically underestimates these tail exponents.
AB - In a recent publication, Plerou and Stanley [Phys. Rev. E 76, 046109 (2007)] use the Meerschaert-Scheffler estimator to verify the "inverse half-cubic law" of trade size distributions. We show that this procedure systematically underestimates these tail exponents.
UR - http://www.scopus.com/inward/record.url?scp=67650109624&partnerID=8YFLogxK
U2 - 10.1103/PhysRevE.79.068101
DO - 10.1103/PhysRevE.79.068101
M3 - Comment/debate
AN - SCOPUS:67650109624
SN - 1539-3755
VL - 79
JO - Physical Review E - Statistical Physics, Plasmas, Fluids, and Related Interdisciplinary Topics
JF - Physical Review E - Statistical Physics, Plasmas, Fluids, and Related Interdisciplinary Topics
IS - 6
M1 - 068101
ER -