Relative volume as a doubly stochastic binomial point process

DOI10.1080/14697680600969735MaRDI QIDQ3439867zbMATH OpenOpenAlexFDO

Authors James McCulloch

Publication date 18 May 2007

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697680600969735

zbMATH Keywords

Cox processdoubly stochastic binomial point processinitial enlargement of filtrationrelative volume

Mathematics Subject Classification ID

General theory of stochastic processes (60G07) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Financial applications of other theories (91G80)

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Cites work

• An introduction to the theory of point processes
• Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
• scientific article; zbMATH DE number 1323998 (Why is no real title available?)
• The modeling of randomly modulated jump processes

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