Activity autocorrelation in financial markets. A comparative study between several models

Details Activity autocorrelation in financial markets. A comparative study between several models Activity autocorrelation in financial markets. A comparative study between several models

2003-12-18

arxiv.org/abs/cond-mat/0312489v1

European Physical Journal B 38 (2004) 671-677

Physics

Condensed Matter

Statistical Mechanics

15 pages, 4 figures

Scientific paper

10.1140/epjb/e2004-00161-6

We study the activity, i.e., the number of transactions per unit time, of financial markets. Using the diffusion entropy technique we show that the autocorrelation of the activity is caused by the presence of peaks whose time distances are distributed following an asymptotic power law which ultimately recovers the Poissonian behavior. We discuss these results in comparison with ARCH models, stochastic volatility models and multi-agent models showing that ARCH and stochastic volatility models better describe the observed experimental evidences.

Affiliated with

Also associated with

No associations

Rating

Activity autocorrelation in financial markets. A comparative study between several models does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Activity autocorrelation in financial markets. A comparative study between several models, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Activity autocorrelation in financial markets. A comparative study between several models will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-307863