Physics – Condensed Matter – Statistical Mechanics
Scientific paper
2004-12-28
Gontis V., Kaulakys B., Physica A 344 (2004) 128-133
Physics
Condensed Matter
Statistical Mechanics
6 pages, 2 figures
Scientific paper
10.1016/j.physa.2004.06.153
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.
Gontis Vygintas
Kaulakys Bronislovas
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