dorsal/arxiv
View SchemaMixtures of compound Poisson processes as models of tick-by-tick financial data
| Authors | Enrico Scalas |
|---|---|
| Categories | |
| ArXiv ID | physics/0608217 |
| URL | https://arxiv.org/abs/physics/0608217 |
| DOI | 10.1016/j.chaos.2007.01.047 |
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.
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"abstract": "A model for the phenomenological description of tick-by-tick share prices in\na stock exchange is introduced. It is based on mixtures of compound Poisson\nprocesses. Preliminary results based on Monte Carlo simulation show that this\nmodel can reproduce various stylized facts.",
"arxiv_id": "physics/0608217",
"authors": [
"Enrico Scalas"
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"doi": "10.1016/j.chaos.2007.01.047",
"title": "Mixtures of compound Poisson processes as models of tick-by-tick financial data",
"url": "https://arxiv.org/abs/physics/0608217"
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