Trading activity as driven Poisson process: comparison with empirical data
Trading and Market Microstructure
2009-11-13 v1 Data Analysis, Statistics and Probability
Physics and Society
Abstract
We propose the point process model as the Poissonian-like stochastic sequence with slowly diffusing mean rate and adjust the parameters of the model to the empirical data of trading activity for 26 stocks traded on NYSE. The proposed scaled stochastic differential equation provides the universal description of the trading activities with the same parameters applicable for all stocks.
Cite
@article{arxiv.0710.1439,
title = {Trading activity as driven Poisson process: comparison with empirical data},
author = {V. Gontis and B. Kaulakys and J. Ruseckas},
journal= {arXiv preprint arXiv:0710.1439},
year = {2009}
}
Comments
9 pages, 5 figures, proceedings of APFA6