Stochastic resonance and the trade arrival rate of stocks Export

@article{citeulike:6081013, abstract = {We studied non-dynamical stochastic resonance for the number of trades in the stock market. The trade arrival rate presents a deterministic pattern that can be modeled by a cosine function perturbed by noise. Due to the nonlinear relationship between the rate and the observed number of trades, the noise can either enhance or suppress the detection of the deterministic pattern. By finding the parameters of our model with intra-day data, we describe the trading environment and illustrate the presence of SR in the trade arrival rate of stocks in the U.S. market.}, archivePrefix = {arXiv}, author = {Silva, A. Christian and Yen, Ju-Yi J.}, citeulike-article-id = {6081013}, citeulike-linkout-0 = {http://arxiv.org/abs/0807.0925}, citeulike-linkout-1 = {http://arxiv.org/pdf/0807.0925}, day = {6}, eprint = {0807.0925}, keywords = {finance, rate, sr, tick}, month = {Jul}, posted-at = {2009-11-06 14:50:35}, priority = {2}, title = {Stochastic resonance and the trade arrival rate of stocks}, url = {http://arxiv.org/abs/0807.0925}, year = {2008} }

TY - JOUR ID - citeulike:6081013 L3 - citeulike-article-id:6081013 N2 - We studied non-dynamical stochastic resonance for the number of trades in the stock market. The trade arrival rate presents a deterministic pattern that can be modeled by a cosine function perturbed by noise. Due to the nonlinear relationship between the rate and the observed number of trades, the noise can either enhance or suppress the detection of the deterministic pattern. By finding the parameters of our model with intra-day data, we describe the trading environment and illustrate the presence of SR in the trade arrival rate of stocks in the U.S. market. TI - Stochastic resonance and the trade arrival rate of stocks KW - finance KW - rate KW - sr KW - tick AU - Silva, Christian AU - Yen, Ju-Yi PY - 2008/Jul/06/ UR - http://arxiv.org/abs/0807.0925 ER -