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Nature 421, 130 (9 January 2003) | doi:10.1038/421130a;

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Econophysics: Two-phase behaviour of financial markets

Buying and selling in financial markets is driven by demand, which can be quantified by the imbalance in the number of shares transacted by buyers and sellers over a given time interval. Here we analyse the probability distribution of demand, conditioned on its local noise intensity |[Sigma]|, and discover the surprising existence of a critical threshold, |[Sigma]|c.

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