PT - JOURNAL ARTICLE AU - A. Ozun AU - Y.F. Contoyiannis AU - F.K. Diakonos AU - M. Hanias AU - L. Magafas TI - Intermittency in Stock Market Dynamics AID - 10.3905/jot.2014.9.3.034 DP - 2014 Jun 30 TA - The Journal of Trading PG - 34--41 VI - 9 IP - 3 4099 - https://pm-research.com/content/9/3/34.short 4100 - https://pm-research.com/content/9/3/34.full AB - This article uses the critical fluctuations method in physics to detect intermittent fluctuations in stock market dynamics. The method is able to extract self-similar patterns based on the distribution of properly defined laminar lengths in stock prices. The authors analyze time series from the NYSE that contain share values from the last 20 years to look for non-conventional fluctuations. Similar analysis is performed for the Dow Jones Index during the same time interval. At the level of prices, the authors do not observe any signature of non-conventional statistics; however, interestingly enough, they find an excellent power-law laminar length distribution for the time series constructed from the difference between the highest and the lowest share prices or global index values within a day. The authors conclude that the evolution of the amplitude of the daily fluctuations of the share prices and the global index contains an intermittent dynamic component with critical characteristics. The article provides an original methodology derived from physics to examine stock market behaviors and empirically concludes that most “efficient” world stock markets, in fact, show deterministic patterns.TOPICS: Exchanges/markets/clearinghouses, statistical methods