MULTIVARIATE MARKED POISSON PROCESSES AND MARKET RELATED MULTIDIMENSIONAL INFORMATION FLOWS

Petar Jevtić (), Marina Marena and Patrizia Semeraro
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Petar Jevtić: School of Mathematical and Statistical Sciences, Arizona State University, 901 S Palm Walk Tempe, AZ 85287, USA

International Journal of Theoretical and Applied Finance (IJTAF), 2019, vol. 22, issue 02, 1-26

Abstract: The class of marked Poisson processes and its connection with subordinated Lévy processes allow us to propose a new interpretation of multidimensional information flows and their relation to market movements. The new approach provides a unified framework for multivariate asset return models in a Lévy economy. In fact, we are able to recover several processes commonly used to model asset returns as subcases. We consider a first application example using the normal inverse Gaussian specification.

Keywords: Marked Poisson processes; subordinated Lévy processes; multivariate Poisson random measure; multivariate subordinators; multivariate asset modeling; multivariate normal inverse Gaussian process (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (3)

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DOI: 10.1142/S0219024918500589

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