Trading activity as driven Poisson process: Comparison with empirical data

V. Gontis, B. Kaulakys and J. Ruseckas

Physica A: Statistical Mechanics and its Applications, 2008, vol. 387, issue 15, 3891-3896

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.

Keywords: Financial markets; Trading activity; Stochastic equations; Point processes (search for similar items in EconPapers)
Date: 2008
References: View complete reference list from CitEc
Citations: View citations in EconPapers (10)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:387:y:2008:i:15:p:3891-3896

DOI: 10.1016/j.physa.2008.02.078

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