Point Processes Modeling of Time Series Exhibiting Power-Law Statistics
arXiv:1001.2639 · doi:10.1063/1.2759736
Abstract
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.
4 pages, 2 figures