@article{f4e35cd5c7984e9eae2f5f891b25ad8b,
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",
month = oct,
doi = "10.1016/j.chaos.2007.01.047",
language = "English",
volume = "34",
pages = "33--40",
journal = "Chaos, Solitons and Fractals",
issn = "0960-0779",
publisher = "Elsevier Ltd.",
number = "1",
}