Cover Image

Mixtures of compound Poisson processes as models of tick-by-tick financial data

A model for the phenomenological description of tick-by-tick share prices in a stock exchange is introduced. It is based on mixtures of compound Poisson processes. Preliminary results based on Monte Carlo simulation show that this model can reproduce various stylized facts.
Year of publication:
2006-08
Authors: Scalas, Enrico
Institutions: arXiv.org
Extent:
application/pdf
Series:
Type of publication: Book / Working Paper
Source:
Persistent link: https://www.econbiz.de/10005098973
Similar items by person