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Mixtures of compound Poisson processes as models of tick-by-tick financial data
journal contribution
posted on 2023-06-08, 18:25 authored by Enrico ScalasA 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.
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Publication status
- Published
Journal
Chaos, Solitons & FractalsISSN
0960-0779Publisher
ElsevierExternal DOI
Issue
1Volume
34Page range
33-40Department affiliated with
- Mathematics Publications
Full text available
- No
Peer reviewed?
- Yes
Legacy Posted Date
2014-09-26Usage metrics
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