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Mixtures of compound Poisson processes as models of tick-by-tick financial data. (English) Zbl 1142.60392
Summary: 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.
MSC:
60K10Applications of renewal theory
60K05Renewal theory
65C05Monte Carlo methods
91B84Economic time series analysis