Gontis, V.; Kaulakys, B.; Ruseckas, J. - In: Physica A: Statistical Mechanics and its Applications 387 (2008) 15, pp. 3891-3896
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...