Modeling financial markets by the multiplicative sequence of trades

Physica A: Statistical Mechanics and its Applications

Volumn 344, Issue 1-2, 2004, Pages 128-133

  Gontis, V ^a   Kaulakys, B ^a  

^a VILNIUS UNIVERSITY   (Lithuania)

Author keywords

1 f noise; Financial markets; Point processes; Stochastic modeling

Indexed keywords

DATA REDUCTION; FINANCE; MATHEMATICAL MODELS; PERTURBATION TECHNIQUES; PROBABILITY DISTRIBUTIONS;

1/F NOISE; FINANCIAL MARKETS; POINT PROCESSES; STOCHASTIC MODELING;

RANDOM PROCESSES;

EID: 5444271948     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2004.06.153     Document Type: Conference Paper

References (18)

1. M. Levy, S. Solomon, Int. J. Mod. Phys. C 7 (1996) 595.
2. M. Levy, S. Solomon, Physica A 242 (1997) 90.
3. D. Sornette, R. Cont, J. Phys. I (France) 7 (1997) 431.
4. P. Gopikrishnan, et al., Eur. Phys. J. B 3 (1998) 139.
5. A. Blank, S. Solomon, Physica A 287 (2000) 279.
6. P. Richmond, Eur. Phys. J. B 20 (2001) 523.
7. J.P. Bouchaud, e-print: cond-mat/0008103, 2000.
8. P. Gopikrishnan, et al., Physica A 287 (2000) 362.
9. P. Gopikrishnan, et al., Phys. Rev. E 62 (2000) R4493.
10. P. Cizeau, et al., Quant. Finance 1 (2001) 217.
11. B. Kaulakys, T. Meškauskas, Phys. Rev. E 58 (1998) 7013.
12. B. Kaulakys, Phys. Lett. A 257 (1999) 37.
13. B. Kaulakys, T. Meškauskas, Nonlinear Anal.: Mod. Contr. Vilnius 4 (1999) 87.
14. B. Kaulakys, Microelectron. Reliab. 40 (2000) 1787 cond-mat/0305067, 2003.
15. V. Gontis, Lithuanian J. Phys. 41 (2001) 551 cond-mat/0201514, 2002.
16. V. Gontis, Nonlin. Anal.: Mod. Contr. 7 (2002) 43 cond-mat/0211317, 2002.
17. V. Gontis, B. Kaulakys, Proceedings of the 17th ICNF, Prague, 2003, pp. 622-625; cond-mat/0303089, 2002.
18. C.W. Gardiner, Handbook of Stochastic Methods, Springer, Berlin, 1986.