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

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  • Enrico Scalas

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.

Suggested Citation

  • Enrico Scalas, 2006. "Mixtures of compound Poisson processes as models of tick-by-tick financial data," Papers physics/0608217, arXiv.org.
  • Handle: RePEc:arx:papers:physics/0608217
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    File URL: http://arxiv.org/pdf/physics/0608217
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    Cited by:

    1. Enrico Scalas & Mauro Politi, 2012. "A parsimonious model for intraday European option pricing," Papers 1202.4332, arXiv.org.
    2. A. Saichev & D. Sornette, 2012. "A simple microstructure return model explaining microstructure noise and Epps effects," Papers 1202.3915, arXiv.org.
    3. 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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