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- W3122903405 abstract "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." @default.
- W3122903405 created "2021-02-01" @default.
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- W3122903405 date "2004-12-01" @default.
- W3122903405 modified "2023-09-23" @default.
- W3122903405 title "Modelling financial markets by the multiplicative sequence of trades" @default.
- W3122903405 hasPublicationYear "2004" @default.
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