• Title of article

    Trading activity as driven Poisson process: Comparison with empirical data

  • Author/Authors

    V. Gontis، نويسنده , , B. Kaulakys، نويسنده , , J. Ruseckas، نويسنده ,

  • Issue Information
    روزنامه با شماره پیاپی سال 2008
  • Pages
    6
  • From page
    3891
  • To page
    3896
  • Abstract
    We propose the point process model as the Poissonian-like stochastic sequence with slowly diffusing mean rate and adjust the parameters of the model to the empirical data of trading activity for 26 stocks traded on NYSE. The proposed scaled stochastic differential equation provides the universal description of the trading activities with the same parameters applicable for all stocks
  • Journal title
    Physica A Statistical Mechanics and its Applications
  • Serial Year
    2008
  • Journal title
    Physica A Statistical Mechanics and its Applications
  • Record number

    872565