| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1896527 | Chaos, Solitons & Fractals | 2007 | 8 Pages |
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.
Related Topics
Physical Sciences and Engineering
Physics and Astronomy
Statistical and Nonlinear Physics
Authors
Enrico Scalas,