Trading activity as driven Poisson process: comparison with empirical data

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 des...

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Bibliographic Details
Published inarXiv.org
Main Authors Gontis, V, Kaulakys, B, Ruseckas, J
Format Paper Journal Article
LanguageEnglish
Published Ithaca Cornell University Library, arXiv.org 08.10.2007
Subjects
Differential equations
Diffusion rate
Mathematical models
Parameters
Physics - Data Analysis, Statistics and Probability
Physics - Physics and Society
Poisson density functions
Quantitative Finance - Trading and Microstructure
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Summary: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.
ISSN:2331-8422
DOI:10.48550/arxiv.0710.1439