Mixtures of compound Poisson processes as models of tick-by-tick financial data
Physics and Society
2015-06-26 v1 Data Analysis, Statistics and Probability
Statistical Finance
Abstract
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.
Keywords
Cite
@article{arxiv.physics/0608217,
title = {Mixtures of compound Poisson processes as models of tick-by-tick financial data},
author = {Enrico Scalas},
journal= {arXiv preprint arXiv:physics/0608217},
year = {2015}
}
Comments
12 pages, 6 figures, to appear in a special issue of Chaos, Solitons and Fractals