Please use this identifier to cite or link to this item: http://hdl.handle.net/2445/18869
Title: Model for interevent times with long tails and multifractality in human communications: An application to financial trading
Author: Perelló, Josep, 1974-
Masoliver, Jaume, 1951-
Kasprzak, Andrzej
Kutner, Ryszard
Keywords: Física matemàtica
Sistemes no lineals
Mathematical physics
Nonlinear systems
Issue Date: 2008
Publisher: The American Physical Society
Abstract: Social, technological, and economic time series are divided by events which are usually assumed to be random, albeit with some hierarchical structure. It is well known that the interevent statistics observed in these contexts differs from the Poissonian profile by being long-tailed distributed with resting and active periods interwoven. Understanding mechanisms generating consistent statistics has therefore become a central issue. The approach we present is taken from the continuous-time random-walk formalism and represents an analytical alternative to models of nontrivial priority that have been recently proposed. Our analysis also goes one step further by looking at the multifractal structure of the interevent times of human decisions. We here analyze the intertransaction time intervals of several financial markets. We observe that empirical data describe a subtle multifractal behavior. Our model explains this structure by taking the pausing-time density in the form of a superstatistics where the integral kernel quantifies the heterogeneous nature of the executed tasks. A stretched exponential kernel provides a multifractal profile valid for a certain limited range. A suggested heuristic analytical profile is capable of covering a broader region.
Note: Reproducció del document publicat a: http://dx.doi.org/10.1103/PhysRevE.78.036108
It is part of: Physical Review e, 2008, vol. 78, núm. 3, p. 036108-1-036108-11
Related resource: http://dx.doi.org/10.1103/PhysRevE.78.036108
URI: http://hdl.handle.net/2445/18869
ISSN: 1063-651X
Appears in Collections:Articles publicats en revistes (Física de la Matèria Condensada)

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