Multiplicative Stochastic Model of the Time Interval between Trades in Financial Markets

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 multipl...

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Bibliographic Details
Main Author: V. Gontis
Format: Article
Language:English
Published: Vilnius University Press 2002-06-01
Series:Nonlinear Analysis
Subjects:
statistical analysis
financial markets
stochastic modelling
Online Access:http://www.zurnalai.vu.lt/nonlinear-analysis/article/view/15201

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