| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 977979 | Physica A: Statistical Mechanics and its Applications | 2008 | 6 Pages |
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
V. Gontis, B. Kaulakys, J. Ruseckas,