MULTIVARIATE MARKED POISSON PROCESSES and MARKET RELATED MULTIDIMENSIONAL INFORMATION FLOWS

Petar Jevtic, Marina Marena, Patrizia Semeraro

Research output: Contribution to journalArticlepeer-review

1 Scopus citations

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.

Original languageEnglish (US)
Article number1850058
JournalInternational Journal of Theoretical and Applied Finance
Volume22
Issue number2
DOIs
StatePublished - Mar 1 2019

Keywords

  • Marked Poisson processes
  • multivariate Poisson random measure
  • multivariate asset modeling
  • multivariate normal inverse Gaussian process
  • multivariate subordinators
  • subordinated Lévy processes

ASJC Scopus subject areas

  • Finance
  • Economics, Econometrics and Finance(all)

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