Point Processes Modeling of Time Series Exhibiting Power-Law Statistics

Autor:	Kaulakys, B., Alaburda, M., Gontis, V.
Rok vydání:	2010
Předmět:	Physics - Data Analysis Statistics and Probability Quantitative Finance - Statistical Finance
Zdroj:	NOISE AND FLUCTUATIONS: 19th International Conference on Noise and Fluctuations - ICNF 2007, AIP Conf. Proc. 922, p.535-538 (2007)
Druh dokumentu:	Working Paper
DOI:	10.1063/1.2759736
Popis:	We consider stochastic point processes generating time series exhibiting power laws of spectrum and distribution density (Phys. Rev. E 71, 051105 (2005)) and apply them for modeling the trading activity in the financial markets and for the frequencies of word occurrences in the language. Comment: 4 pages, 2 figures
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/1001.2639 Zobrazit plný text záznamu View this record from Arxiv