Mixtures of compound Poisson processes as models of tick-by-tick financial data

Enrico Scalas

doi:10.1016/j.chaos.2007.01.047

Mixtures of compound Poisson processes as models of tick-by-tick financial data

Enrico Scalas

Research output: Contribution to journal › Article › peer-review

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.

Original language	English
Pages (from-to)	33-40
Number of pages	8
Journal	Chaos, Solitons and Fractals
Volume	34
Issue number	1
DOIs	https://doi.org/10.1016/j.chaos.2007.01.047
Publication status	Published - Oct 2007
Externally published	Yes

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10.1016/j.chaos.2007.01.047

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title = "Mixtures of compound Poisson processes as models of tick-by-tick financial data",

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.",

author = "Enrico Scalas",

note = "Funding Information: The authors acknowledges an interesting discussion with Peter Buchen and Tom Gillespie. He is indebted to Rudolf Gorenflo and Francesco Mainardi with whom he developed the application of continuous-time random walks to finance. This work has been supported by the Italian MIUR grant “Dinamica di altissima frequenza nei mercati finanziari”.",

year = "2007",

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N2 - 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.

AB - 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.

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DO - 10.1016/j.chaos.2007.01.047

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JO - Chaos, Solitons and Fractals

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IS - 1

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Mixtures of compound Poisson processes as models of tick-by-tick financial data

Abstract

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