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

DOI10.1016/j.chaos.2007.01.047zbMath1142.60392arXivphysics/0608217OpenAlexW2147628181MaRDI QIDQ944809

Enrico Scalas

Publication date: 10 September 2008

Published in: Chaos, Solitons and Fractals (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/physics/0608217

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Economic time series analysis (91B84) Applications of renewal theory (reliability, demand theory, etc.) (60K10) Renewal theory (60K05)

Related Items (8)

Dual identities in fractional difference calculus within Riemann ⋮ Censored expectation maximization algorithm for mixtures: application to intertrade waiting times ⋮ Bridging stylized facts in finance and data non-stationarities ⋮ On Riemann and Caputo fractional differences ⋮ Maximizing information exchange between complex networks ⋮ On delta and nabla Caputo fractional differences and dual identities ⋮ On the existence and the uniqueness theorem for fractional differential equations with bounded delay within Caputo derivatives ⋮ Existence and uniqueness theorem for a class of delay differential equations with left and right Caputo fractional derivatives

Cites Work

• Aging in financial market
• Waiting-times and returns in high-frequency financial data: An empirical study
• Random Walks on Lattices. II
• The stochastically subordinated Poisson normal process for modelling financial assets
• Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
• Anomalous waiting times in high-frequency financial data
• The restaurant at the end of the random walk: recent developments in the description of anomalous transport by fractional dynamics
• The stochastically subordinated Poisson normal process for modelling financial assets
• The random walk's guide to anomalous diffusion: A fractional dynamics approach
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