CENTANNI, SILVIA; MINOZZO, MARCO - In: International Journal of Theoretical and Applied … 15 (2012) 03, pp. 1250018-1
To model intraday stock price movements we propose a class of marked doubly stochastic Poisson processes, whose intensity process can be interpreted in terms of the effect of information release on market activity. Assuming a partial information setting in which market agents are restricted to...