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
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