Dresden 2006 – scientific programme

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AKSOE: Physik sozio-ökonomischer Systeme

AKSOE 10: Poster Session (posters are expected to be displayed the full day 8:30-18:00)

AKSOE 10.21: Poster

Wednesday, March 29, 2006, 16:00–18:00, P2

Point processes models for the trading activity — •Bronislovas Kaulakys, Miglius Alaburda, and Vygintas Gontis — Institute of Theoretical Physics and Astronomy of Vilnius University, A. Gostauto 12, LT-01108 Vilnius, Lithuania

Point processes models generating the multifractal time series with the power-law distributions of the signal intensity and of the power spectrum will be presented. The developed [1] multiplicative point processes models of 1/f noise may be used for analysis and modeling of stochastic processes in different systems with the power-law distributions of the interpulse, interevent, interarrival, recurrence or waiting times, with the power-law distribution of the signal intensity or of the counting statistics. Further, we analyze the financial markets where the stock volatility, trading activity and trading volume usually fluctuate as 1/f noise, as well [2]. The model reproduces spectral properties of the real markets and explains the mechanism of the power-law distribution of the trading activity [3]. The study indicates that the statistical properties of the financial markets are related with the statistics of the time intervals between the trades.

We acknowledge support by the Lithuanian State Science and Studies Foundation.

[1] B. Kaulakys, V. Gontis and M. Alaburda, Phys. Rev. E 71, 051105 (2005).

[2] X. Gabaix et al., Nature 423, 267 (2003).

[3] V. Gontis and B. Kaulakys, Physica A 343, 505 (2004); 344, 128 (2004).