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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.

60K10Applications of renewal theory
60K05Renewal theory
65C05Monte Carlo methods
91B84Economic time series analysis
Full Text: DOI
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