Modelling financial markets by the multiplicative sequence of trades
<|reference_start|>Modelling financial markets by the multiplicative sequence of trades: We introduce the stochastic multiplicative point process modelling trading activity of financial markets. Such a model system exhibits power-law spectral density S(f) ~ 1/f**beta, scaled as power of frequency for various values of beta between 0.5 and 2. Furthermore, we analyze the relation between the power-law autocorrelations and the origin of the power-law probability distribution of the trading activity. The model reproduces the spectral properties of trading activity and explains the mechanism of power-law distribution in real markets.<|reference_end|>
@article{gontis2004modelling,
    title={Modelling financial markets by the multiplicative sequence of trades},
    author={Vygintas Gontis, Bronislovas Kaulakys},
    journal={Gontis V., Kaulakys B., Physica A 344 (2004) 128-133},
    year={2004},
    doi={10.1016/j.physa.2004.06.153},
    archivePrefix={arXiv},
    eprint={cond-mat/0412723},
    primaryClass={cond-mat.stat-mech cs.CE math.SP physics.data-an q-fin.ST}
}