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

DOI10.1016/J.CHAOS.2007.01.047zbMATH Open1142.60392arXivphysics/0608217OpenAlexW2147628181MaRDI QIDQ944809FDOQ944809

Authors: Enrico Scalas 

Publication date: 10 September 2008

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

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.

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

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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)

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Cited In (15)

• 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
• Title not available (Why is that?)
• Censored expectation maximization algorithm for mixtures: application to intertrade waiting times
• Title not available (Why is that?)
• Bridging stylized facts in finance and data non-stationarities
• Return or stock price differences

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