Oomen, Roel C.A. - Econometric Society - 2004
This article studies two extensions of the compound Poisson process with iid Gaussian innovations which are able to …/ask spread encountered in price-driven markets. This model can be viewed as a mixture of the compound Poisson process model by … Press and the bid/ask bounce model by Roll. The second model generalizes the compound Poisson process to allow for an …