Multivariate Marked Poisson Processes and Market Related Multidimensional Information Flows

Petar Jevtic, M. Marena, P. Semeraro
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引用次数: 2

Abstract

The class of marked Poisson processes and its connection with subordinated Lévy processes allow us to propose a new interpretation of multidimensional information flows and their relation to market movements. The new approach provides a unified framework for multivariate asset return models in a Lévy economy. In fact, we are able to recover several processes commonly used to model asset returns as subcases. We consider a first application example using the normal inverse Gaussian specification.
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多元标记泊松过程与市场相关多维信息流
标记泊松过程的类别及其与从属的lsamvy过程的联系使我们能够对多维信息流及其与市场运动的关系提出一种新的解释。新方法为lsamvy经济中的多元资产回报模型提供了一个统一的框架。事实上,我们能够恢复几个通常用于将资产回报建模为子案例的过程。我们考虑使用正态反高斯规范的第一个应用示例。
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