Trading activity as driven Poisson process: comparison with empirical data

Details Trading activity as driven Poisson process: comparison with empirical data Trading activity as driven Poisson process: comparison with empirical data

2007-10-08

arxiv.org/abs/0710.1439v1

Economy

Quantitative Finance

Trading and Market Microstructure

9 pages, 5 figures, proceedings of APFA6

Scientific paper

10.1016/j.physa.2008.02.078

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.

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