کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
979583 933371 2007 7 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Modeling long-range memory trading activity by stochastic differential equations
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات فیزیک ریاضی
پیش نمایش صفحه اول مقاله
Modeling long-range memory trading activity by stochastic differential equations
چکیده انگلیسی

We propose a model of fractal point process driven by the nonlinear stochastic differential equation. The model is adjusted to the empirical data of trading activity in financial markets. This reproduces the probability distribution function and power spectral density of trading activity observed in the stock markets. We present a simple stochastic relation between the trading activity and return, which enables us to reproduce long-range memory statistical properties of volatility by numerical calculations based on the proposed fractal point process.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 382, Issue 1, 1 August 2007, Pages 114–120
نویسندگان
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