Scalas, Enrico (2007) Mixtures of compound Poisson processes as models of tick-by-tick financial data. Chaos, Solitons & Fractals, 34 (1). pp. 33-40. ISSN 0960-0779

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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.

Item Type:	Article
Schools and Departments:	School of Mathematical and Physical Sciences > Mathematics
Subjects:	Q Science > QA Mathematics > QA0273 Probabilities. Mathematical statistics
Depositing User:	Enrico Scalas
Date Deposited:	26 Sep 2014 08:20
Last Modified:	25 May 2021 08:18
URI:	http://sro.sussex.ac.uk/id/eprint/50263

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