19 research outputs found
Trading activity as driven Poisson process: comparison with empirical data
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.Comment: 9 pages, 5 figures, proceedings of APFA
Scaling in currency exchange
We study the scaling behavior in currency exchange rates. Our results suggest that they satisfy scaling with an exponent close to 0.5, but that it differs qualitatively from that of a simple random walk. Indeed price variations cannot be considered as independent variables and subtle correlations are present. Furthermore, we introduce a novel statistical analysis for economic data which makes the physical properties of a signal more evident and eliminates the systematic effects of time periodicity