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

Enrico Scalas

Chaos, Solitons & Fractals, 2007, vol. 34, issue 1, 33-40

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.

Date: 2007
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Persistent link: https://EconPapers.repec.org/RePEc:eee:chsofr:v:34:y:2007:i:1:p:33-40

DOI: 10.1016/j.chaos.2007.01.047

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