Point Processes Modeling of Time Series Exhibiting Power-Law Statistics
Data Analysis, Statistics and Probability
2015-05-18 v1 Statistical Finance
Abstract
We consider stochastic point processes generating time series exhibiting power laws of spectrum and distribution density (Phys. Rev. E 71, 051105 (2005)) and apply them for modeling the trading activity in the financial markets and for the frequencies of word occurrences in the language.
Cite
@article{arxiv.1001.2639,
title = {Point Processes Modeling of Time Series Exhibiting Power-Law Statistics},
author = {B. Kaulakys and M. Alaburda and V. Gontis},
journal= {arXiv preprint arXiv:1001.2639},
year = {2015}
}
Comments
4 pages, 2 figures