Point Processes Modeling of Time Series Exhibiting Power-Law Statistics

B. Kaulakys, M. Alaburda and V. Gontis

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Abstract: We consider stochastic point processes generating time series exhibiting power laws of spectrum and distribution density (Phys. Rev. E 71, 051105 (2005)) and apply them for modeling the trading activity in the financial markets and for the frequencies of word occurrences in the language.

Date: 2010-01
New Economics Papers: this item is included in nep-ecm and nep-ets
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Published in NOISE AND FLUCTUATIONS: 19th International Conference on Noise and Fluctuations - ICNF 2007, AIP Conf. Proc. 922, p.535-538 (2007)

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