Mixtures of compound Poisson processes as models of tick-by-tick financial data
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- Arnab Das & Sudhakar Yarlagadda, 2003. "A distribution function analysis of wealth distribution," Papers cond-mat/0310343, arXiv.org.
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- 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 (IfW).
- 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;Society for Economic Science with Heterogeneous Interacting Agents, vol. 6(2), pages 93-120, November.
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