Modelling financial markets by the multiplicative sequence of trades

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dc.creatorGontis, Vygintas
dc.creatorKaulakys, Bronislovas
dc.date2004-12-28
dc.date.accessioned2026-07-07T12:07:03Z
dc.date.available2026-07-07T12:07:03Z
dc.descriptionWe 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.
dc.description6 pages, 2 figures
dc.identifierhttps://arxiv.org/abs/cond-mat/0412723
dc.identifierhttp://arxiv.org/abs/cond-mat/0412723
dc.identifierGontis V., Kaulakys B., Physica A 344 (2004) 128-133
dc.identifierdoi:10.1016/j.physa.2004.06.153
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/208840
dc.subjectStatistical Mechanics
dc.subjectComputational Engineering, Finance, and Science
dc.subjectSpectral Theory
dc.subjectData Analysis, Statistics and Probability
dc.subjectStatistical Finance
dc.titleModelling financial markets by the multiplicative sequence of trades
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