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Trading activity as driven Poisson process: Comparison with empirical data

Authors
Journal
Physica A Statistical Mechanics and its Applications
0378-4371
Publisher
Elsevier
Publication Date
Volume
387
Issue
15
Identifiers
DOI: 10.1016/j.physa.2008.02.078
Keywords
  • Financial Markets
  • Trading Activity
  • Stochastic Equations
  • Point Processes
Disciplines
  • Mathematics

Abstract

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.

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