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

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

2006-08-22

arxiv.org/abs/physics/0608217v1

Physics

Physics and Society

12 pages, 6 figures, to appear in a special issue of Chaos, Solitons and Fractals

Scientific paper

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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