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Full characterization of the fractional Poisson process
Full characterization fractional Poisson process Data Analysis
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2011/7/25
Abstract: The fractional Poisson process (FPP) is a counting process with independent and identically distributed inter-event times following the Mittag-Leffler distribution. This process is very usef...
Scaling and memory in the non-poisson process of limit order cancelation
Econophysics Inter-cancelation duration Scaling Long memory Multifractal nature
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2010/11/2
The order submission and cancelation processes are two crucial aspects in the price formation of stocks traded in order-driven markets. We investigate the dynamics of order cancelation by studying the...