Trading activity as driven Poisson process: Comparison with empirical data
نویسندگان
چکیده
منابع مشابه
Trading activity as driven Poisson process : comparison with empirical data
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 stochas-tic differential equation provides the universal description of the trading activities with the same parameters applicable for all stocks.
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ژورنال
عنوان ژورنال: Physica A: Statistical Mechanics and its Applications
سال: 2008
ISSN: 0378-4371
DOI: 10.1016/j.physa.2008.02.078