# Stochastic volatility of financial markets as the fluctuating rate of trading: An empirical study

@article{Silva2007StochasticVO, title={Stochastic volatility of financial markets as the fluctuating rate of trading: An empirical study}, author={A. Christian Silva and Victor M. Yakovenko}, journal={Physica A-statistical Mechanics and Its Applications}, year={2007}, volume={382}, pages={278-285} }

## 31 Citations

### Distributions of historic market data – stock returns

- EconomicsThe European Physical Journal B
- 2019

Abstract
We show that the moments of the distribution of historic stock returns are in excellent agreement with the Heston model and not with the multiplicative model, which predicts power-law tails…

### Model for non-Gaussian intraday stock returns.

- EconomicsPhysical review. E, Statistical, nonlinear, and soft matter physics
- 2009

This work provides evidence that the return distribution for these stocks is non-Gaussian and similar in shape and that the distribution appears stable over intraday time scales and predicts that the predicted results show excellent agreement with the data for all stocks in this study and over all regions of the return distributions.

### Maximum likelihood approach for several stochastic volatility models

- Economics
- 2012

Volatility measures the amplitude of price fluctuations. Despite it being one of the most important quantities in finance, volatility is not directly observable. Here we apply a maximum likelihood…

### Stochastic resonance and the trade arrival rate of stocks

- Economics
- 2008

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…

### Stochastic volatility models and Kelvin waves

- Mathematics
- 2008

We use stochastic volatility models to describe the evolution of an asset price, its instantaneous volatility and its realized volatility. In particular, we concentrate on the Stein and Stein model…

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