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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 Scalas
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.

History

Publication status

  • Published

Journal

Chaos, Solitons & Fractals

ISSN

0960-0779

Publisher

Elsevier

Issue

1

Volume

34

Page range

33-40

Department affiliated with

  • Mathematics Publications

Full text available

  • No

Peer reviewed?

  • Yes

Legacy Posted Date

2014-09-26

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