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

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.

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

References in corpus (4)

• Coupled continuous time random walks in finance
• Waiting times between orders and trades in double-auction markets
• Renewal, Modulation and Superstatistics
• Aging in Financial Market

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