2004/08/10 by Vygintas Gontis, B. Kaulakys, Bronislovas Kaulakys
Computer Science · Economics, Econometrics and Finance · Mathematics · Physics and Astronomy · #Chaos control and synchronization #Complex Systems and Time Series Analysis #Distribution (mathematics) #Econometrics #Economics #Finance #Financial Risk and Volatility Modeling #Financial economics #Financial market #Mathematical analysis #Mathematics #Multiplicative function #Physics #Power law #Sequence (biology) #Spectral density #Statistical physics #Statistics #Stochastic process #cond-mat.stat-mech #cs.CE #math.SP #physics.data-an #q-fin.ST
paper · pdf · doi:10.1016/j.physa.2004.06.153
published as Gontis V., Kaulakys B., Physica A 344 (2004) 128-133 · 6 pages, 2 figures
openalex publication_date 2004/08/10 · arxiv created 2004/12/28 · arxiv updated 2009/12/01 · openalex created_date 2016/06/24 · openalex updated_date 2026/08/05
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.