Comment on "tests of scaling and universality of the distributions of trade size and share volume: evidence from three distinct markets".
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.
Rácz
Eva
E
Institute of Physics, Budapest University of Technology and Economics, Budafoki út 8, Budapest H-1111, Hungary.
Eisler
Zoltán
Z
Kertész
János
J