Mixtures of compound Poisson processes as models of tick-by-tick financial data
AbstractA 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.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by arXiv.org in its series Papers with number physics/0608217.
Date of creation: Aug 2006
Date of revision:
Contact details of provider:
Web page: http://arxiv.org/
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- A. Saichev & D. Sornette, 2012. "A simple microstructure return model explaining microstructure noise and Epps effects," Papers 1202.3915, arXiv.org.
- Takero Ibuki & Jun-ichi Inoue, 2011. "Response of double-auction markets to instantaneous Selling–Buying signals with stochastic Bid–Ask spread," Journal of Economic Interaction and Coordination, Springer, vol. 6(2), pages 93-120, November.
- Enrico Scalas & Mauro Politi, 2012.
"A parsimonious model for intraday European option pricing,"
- Scalas, Enrico & Politi, Mauro, 2012. "A parsimonious model for intraday European option pricing," Economics Discussion Papers 2012-14, Kiel Institute for the World Economy.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (arXiv administrators).
If references are entirely missing, you can add them using this form.