Modelling financial markets by the multiplicative sequence of trades
نویسندگان
چکیده
We introduce the stochastic multiplicative point process modelling trading activity of financial markets. Such a model system exhibits power-law spectral density S(f) ∝ 1/f β , scaled as power of frequency for various values of β between 0.5 and 2. Furthermore, we analyze the relation between the power-law autocorrelations and the origin of the power-law probability distribution of the trading activity. The model reproduces the spectral properties of trading activity and explains the mechanism of power-law distribution in real markets.
منابع مشابه
Multiplicative Stochastic Model of the Time Interval between Trades in Financial Markets
Stock price change in financial market occurs through transactions in analogy with diffusion in stochastic physical systems. The analysis of price changes in real markets shows that long-range correlations of price fluctuations largely depend on the number of transactions. We introduce the multiplicative stochastic model of time interval between trades and analyze spectral density and correlati...
متن کاملMultiplicative point process as a model of financial markets
Signals consisting of a sequence of pulses show that inherent origin of the 1/f noise is a Brownian fluctuation of the average interevent time between subsequent pulses of the pulse sequence. In this paper we generalize the model of interevent time to reproduce the variety of self-affine time series exhibiting power spectral density S(f) scaling as a power of the frequency f . Furthermore, we a...
متن کاملMultiplicative point process as a model of trading activity
Signals consisting of a sequence of pulses show that inherent origin of the 1/f noise is a Brownian fluctuation of the average interevent time between subsequent pulses of the pulse sequence. In this paper we generalize the model of interevent time to reproduce a variety of self-affine time series exhibiting power spectral density S(f) scaling as a power of the frequency f. Furthermore, we anal...
متن کاملOptimal clearing arrangements for financial trades
Clearinghouses support financial trades by keeping records of transactions and by providing liquidity through short-term credit that is periodically cleared by participants. We study efficient clearing arrangements for formal exchanges, where traders must clear with a clearinghouse, and for over-the-counter (OTC) markets, where trades can be cleared bilaterally. When clearing is costly, we show...
متن کاملNew Findings in the Market Microstructure of Over-the-counter Markets a Dissertation in Financial Economics Submitted to the Tepper School of Business Carnegie Mellon University in Partial Fulfillment of the Requirements for the Degree of Doctor of Philosophy
This dissertation studies the market microstructure of over-the-counter markets. All three chapters are based on the municipal (tax-exempt) bond market. However, the implications on price formation, price discovery and dealer’s market power can be generalized into the other OTC markets such as corporate bond and derivatives markets as well. In the first chapter “Price Clustering and Dealer’s Ma...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید
ثبت ناماگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید
ورودعنوان ژورنال:
- CoRR
دوره abs/cond-mat/0412723 شماره
صفحات -
تاریخ انتشار 2004