Comment on ``Tests of scaling and universality of the distributions of trade size and share volume: Evidence from three distinct markets" by Plerou and Stanley, Phys. Rev. E 76, 046109 (2007)

TL;DR

This paper critically evaluates the claims of universality and scaling in trade size and share volume distributions across markets, questioning the robustness of previous findings and emphasizing the need for careful statistical analysis.

Contribution

It provides a detailed critique of prior methods and results, highlighting potential flaws and offering alternative insights into market data distributions.

Findings

Questions the universality of distribution patterns across markets

Identifies methodological issues in previous scaling tests

Suggests more rigorous statistical approaches are necessary

Abstract

Comment on ``Tests of scaling and universality of the distributions of trade size and share volume: Evidence from three distinct markets" by Plerou and Stanley, Phys. Rev. E 76, 046109 (2007)