Modelling share volume traded in financial markets

Vygintas Gontis

Papers from arXiv.org

Abstract: A simple analytically solvable model exhibiting a 1/f spectrum in an arbitrarily wide frequency range was recently proposed by Kaulakys and Meskauskas (KM). Signals consisting of a sequence of pulses show that inherent origin of the 1/f noise is Brownian fluctuations of the average intervent time between subsequent pulses of the pulse sequence. We generalize the KM model to reproduce the variety of self-affine time series exhibiting power spectral density S(f) scaled as power of their frequency f. Numerical calculations with the generalized discrete model (GDM) reproduce power spectral density S(f) scaled as power of frequency 1/f^b for various values of b, including b =1/2 for applications in financial markets. The particular applications of the model proposed are related with financial time series of share volume traded.

Date: 2002-01
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Published in Lithuanian Journal of Physics, 2001, v. 41, No. 4-6, 551-555

Downloads: (external link)
http://arxiv.org/pdf/cond-mat/0201514 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:cond-mat/0201514

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().