Stochastic resonance and the trade arrival rate of stocks

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dc.creatorSilva, A. Christian
dc.creatorYen, Ju-Yi J.
dc.date2008-07-06
dc.date.accessioned2026-07-07T12:05:53Z
dc.date.available2026-07-07T12:05:53Z
dc.descriptionWe studied non-dynamical stochastic resonance for the number of trades in the stock market. The trade arrival rate presents a deterministic pattern that can be modeled by a cosine function perturbed by noise. Due to the nonlinear relationship between the rate and the observed number of trades, the noise can either enhance or suppress the detection of the deterministic pattern. By finding the parameters of our model with intra-day data, we describe the trading environment and illustrate the presence of SR in the trade arrival rate of stocks in the U.S. market.
dc.description4 figures and 8 pages
dc.identifierhttps://arxiv.org/abs/0807.0925
dc.identifierhttp://arxiv.org/abs/0807.0925
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/208499
dc.subjectTrading and Market Microstructure
dc.subjectData Analysis, Statistics and Probability
dc.subjectPhysics and Society
dc.titleStochastic resonance and the trade arrival rate of stocks
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