2 research outputs found
Modelling financial markets by the multiplicative sequence of trades
We introduce the stochastic multiplicative point process modelling trading
activity of financial markets. Such a model system exhibits power-law spectral
density S(f) ~ 1/f**beta, scaled as power of frequency for various values of
beta between 0.5 and 2. Furthermore, we analyze the relation between the
power-law autocorrelations and the origin of the power-law probability
distribution of the trading activity. The model reproduces the spectral
properties of trading activity and explains the mechanism of power-law
distribution in real markets.Comment: 6 pages, 2 figure
Modelling financial markets by the multiplicative sequence of trades
We introduce the stochastic multiplicative point process modelling trading activity of financial markets. Such a model system exhibits power-law spectral density S(f) ~ 1/f**beta, scaled as power of frequency for various values of beta between 0.5 and 2. Furthermore, we analyze the relation between the power-law autocorrelations and the origin of the power-law probability distribution of the trading activity. The model reproduces the spectral properties of trading activity and explains the mechanism of power-law distribution in real markets.