Multiplicative Stochastic Model of the Time Interval between Trades in Financial Markets
Stock price change in financial market occurs through transactions, in analogy with diffusion in stochastic physical systems. The analysis of price changes in real markets shows that long-range correlations of price fluctuations largely depend on the number of transactions. We introduce the multipli...
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| Format: | Article |
| Language: | English |
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Vilnius University Press
2002-06-01
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| Series: | Nonlinear Analysis |
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| Online Access: | http://www.zurnalai.vu.lt/nonlinear-analysis/article/view/15201 |