Comment on "Tests of scaling and universality of the distributions of trade size and share volume: Evidence from three distinct markets"

Eva Rácz; Zoltán Eisler; János Kertész

doi:10.1103/PhysRevE.79.068101

Comment on "Tests of scaling and universality of the distributions of trade size and share volume: Evidence from three distinct markets"

Eva Rácz^*
, Zoltán Eisler
, János Kertész

^*Corresponding author for this work

Budapest University of Technology and Economics

Research output: Contribution to journal › Comment/debate

Abstract (may include machine translation)

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.

Original language	English
Article number	068101
Journal	Physical Review E - Statistical Physics, Plasmas, Fluids, and Related Interdisciplinary Topics
Volume	79
Issue number	6
DOIs	https://doi.org/10.1103/PhysRevE.79.068101
State	Published - 24 Jun 2009
Externally published	Yes

Access to Document

10.1103/PhysRevE.79.068101

Cite this

@article{c1060c03810b4e63a93d86c2b8a15196,

title = "Comment on {"}Tests of scaling and universality of the distributions of trade size and share volume: Evidence from three distinct markets{"}",

abstract = "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.",

author = "Eva R{\'a}cz and Zolt{\'a}n Eisler and J{\'a}nos Kert{\'e}sz",

year = "2009",

month = jun,

day = "24",

doi = "10.1103/PhysRevE.79.068101",

language = "English",

volume = "79",

journal = "Physical Review E - Statistical Physics, Plasmas, Fluids, and Related Interdisciplinary Topics",

issn = "1539-3755",

publisher = "American Physical Society",

number = "6",

}

Comment on "Tests of scaling and universality of the distributions of trade size and share volume: Evidence from three distinct markets". / Rácz, Eva; Eisler, Zoltán; Kertész, János.
In: Physical Review E - Statistical Physics, Plasmas, Fluids, and Related Interdisciplinary Topics, Vol. 79, No. 6, 068101, 24.06.2009.

Research output: Contribution to journal › Comment/debate

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 - https://www.scopus.com/pages/publications/67650109624

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 -

Comment on "Tests of scaling and universality of the distributions of trade size and share volume: Evidence from three distinct markets"

Abstract (may include machine translation)

Access to Document

Other files and links

Fingerprint

Cite this