Title of article
Mixtures of compound Poisson processes as models of tick-by-tick financial data
Author/Authors
Enrico Scalas، نويسنده ,
Issue Information
دوهفته نامه با شماره پیاپی سال 2007
Pages
8
From page
33
To page
40
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.
Journal title
Chaos, Solitons and Fractals
Serial Year
2007
Journal title
Chaos, Solitons and Fractals
Record number
902776
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