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 description of the trading activities with the same parameters applicable for all stocks.

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Year of publication:	2008
Authors:	Gontis, V. ; Kaulakys, B. ; Ruseckas, J.
Published in:	Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 387.2008, 15, p. 3891-3896
Publisher:	Elsevier
Subject:	Financial markets \| Trading activity \| Stochastic equations \| Point processes

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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