523 citations
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Showing 2006 · physics.soc-phShow all
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physics.soc-ph2006★ 27 cited
Modeling long-range memory trading activity by stochastic differential equations
V. Gontis, B. Kaulakys
We propose a model of fractal point process driven by the nonlinear stochastic differential equation. The model is adjusted to the empirical data of trading activity in financial m…
physics.soc-ph2006★ 19 cited
Long-range memory model of trading activity and volatility
V. Gontis, B. Kaulakys
Earlier we proposed the stochastic point process model, which reproduces a variety of self-affine time series exhibiting power spectral density S(f) scaling as power of the frequen…