A model for interevent times with long tails and multifractality in human communications: An application to financial trading

Simple item page
dc.creatorPerello, J.
dc.creatorMasoliver, J.
dc.creatorKasprzak, A.
dc.creatorKutner, R.
dc.date2008-05-09
dc.date2008-07-18
dc.date.accessioned2026-07-07T12:05:49Z
dc.date.available2026-07-07T12:05:49Z
dc.descriptionSocial, technological and economic time series are divided by events which are usually assumed to be random albeit with some hierarchical structure. It is well known that the interevent statistics observed in these contexts differs from the Poissonian profile by being long-tailed distributed with resting and active periods interwoven. Understanding mechanisms generating consistent statistics have therefore become a central issue. The approach we present is taken from the Continuous Time Random Walk formalism and represents an analytical alternative to models of non-trivial priority that have been recently proposed. Our analysis also goes one step further by looking at the multifractal structure of the interevent times of human decisions. We here analyze the inter-transaction time intervals of several financial markets. We observe that empirical data describes a subtle multifractal behavior. Our model explains this structure by taking the pausing-time density in the form of a superstatistics where the integral kernel quantifies the heterogeneous nature of the executed tasks. An stretched exponential kernel provides a multifractal profile valid for a certain limited range. A suggested heuristic analytical profile is capable of covering a broader region.
dc.description25 pages, 10 colored figures
dc.identifierhttps://arxiv.org/abs/0805.1353
dc.identifierhttp://arxiv.org/abs/0805.1353
dc.identifierPhys. Rev. E 78, 036108 (2008)
dc.identifierdoi:10.1103/PhysRevE.78.036108
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/208480
dc.subjectTrading and Market Microstructure
dc.subjectPhysics and Society
dc.titleA model for interevent times with long tails and multifractality in human communications: An application to financial trading
dc.typetext

Files

Collections

arXiv