Multi-fractal structure of traded volume in financial markets
نویسندگان
چکیده
منابع مشابه
Modelling Share Volume Traded in Financial Markets
A simple analytically solvable model exhibiting a 1/f spectrum in an arbitrarily wide frequency range was recently proposed by Kaulakys and Meškauskas (KM). Signals consisting of a sequence of pulses show that inherent origin of the 1/f noise is Brownian fluctuations of the average intervent time between subsequent pulses of the pulse sequence. We generalize the KM model to reproduce the variet...
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ژورنال
عنوان ژورنال: Physica A: Statistical Mechanics and its Applications
سال: 2006
ISSN: 0378-4371
DOI: 10.1016/j.physa.2006.04.098