Lim, Gyuchang; Kim, SooYong; Kim, Kyungsik; Lee, Dong-In; … - In: Physica A: Statistical Mechanics and its Applications 387 (2008) 12, pp. 2831-2836
A recently discovered feature of financial markets, the two-phase phenomenon, is utilized to categorize a financial time series into two phases, namely equilibrium and out-of-equilibrium states. For out-of-equilibrium states, we analyze the time intervals at which the state is revisited. The...