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

DOI10.1016/J.CHAOS.2007.01.047MaRDI QIDQ944809zbMATH OpenOpenAlexFDO

Authors 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)

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.

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Cited in

(15)

• Bridging stylized facts in finance and data non-stationarities
• Modeling discrete stock price changes using a mixture of Poisson distributions
• Dual identities in fractional difference calculus within Riemann
• On delta and nabla Caputo fractional differences and dual identities
• Modeling right-skewed financial data streams: a likelihood inference based on the generalized Birnbaum-Saunders mixture model
• Derivatives pricing with marked point processes using tick-by-tick data
• On the study of two models for integer-valued high-frequency data
• On Riemann and Caputo fractional differences
• Maximizing information exchange between complex networks
• 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
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• scientific article; zbMATH DE number 3892442 (Why is no real title available?)
• Return or stock price differences

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