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AKSOE: Arbeitskreis Physik sozio-ökonomischer Systeme

AKSOE 13: Poster Session (posters on display 10:00-19:00)

AKSOE 13.11: Poster

Wednesday, February 27, 2008, 17:30–19:00, Poster G

Modeling of financial markets by the Poissonian-like multifractal point processes — •Bronislovas Kaulakys, Vygintas Gontis, Miglius Alaburda, and Julius Ruseckas — Institute of Theoretical Physics and Astronomy of Vilnius University, A. Gostauto 12, LT-01108 Vilnius, Lithuania

Recently we proposed and investigated Poissonian-like point processes with slowly fluctuating mean interevent time, driven by the multiplicative autoregressive stochastic equation [1]. The proposed model relates the power-law spectral density with the power-law distribution of the signal intensity into the consistent theoretical approach. The generated time series of the model are multifractal [2]. Here we present the comparison of the model with the empirical data of the trading activity for stocks traded on NYSE. This enables us to present a model, based on the scaled equation, universal for all stocks. The proposed model reproduces the main statistical properties, including the spectrum of the trading activity with two different scaling exponents and the waiting time distribution.

[1] V. Gontis and B. Kaulakys, Physica A 343, 505 (2004); 382, 114 (2007).

[2] B. Kaulakys, M. Alaburda, V. Gontis and T. Meskauskas, In Complexus Mundi: Emergent Patterns in Nature, Ed. M. M. Novak, World Scientific, Singapore, p. 277 (2006).