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

Enrico Scalas

Papers from arXiv.org

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: 2006-08
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Citations: View citations in EconPapers (3)

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Journal Article: Mixtures of compound Poisson processes as models of tick-by-tick financial data (2007)
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