MULTIVARIATE MARKED POISSON PROCESSES and MARKET RELATED MULTIDIMENSIONAL INFORMATION FLOWS

Petar Jevtic; Marina Marena; Patrizia Semeraro

doi:10.1142/S0219024918500589

MULTIVARIATE MARKED POISSON PROCESSES and MARKET RELATED MULTIDIMENSIONAL INFORMATION FLOWS

Petar Jevtic, Marina Marena, Patrizia Semeraro

Mathematical and Statistical Sciences, School of (SoMSS)

Research output: Contribution to journal › Article › peer-review

2 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 language	English (US)
Article number	1850058
Journal	International Journal of Theoretical and Applied Finance
Volume	22
Issue number	2
DOIs	https://doi.org/10.1142/S0219024918500589
State	Published - 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)

Access to Document

10.1142/S0219024918500589

Cite this

@article{a56d6005e74c4a0fb1fa89522d966b7a,

title = "MULTIVARIATE MARKED POISSON PROCESSES and MARKET RELATED MULTIDIMENSIONAL INFORMATION FLOWS",

abstract = "The class of marked Poisson processes and its connection with subordinated L{\'e}vy 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 L{\'e}vy 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.",

keywords = "Marked Poisson processes, multivariate Poisson random measure, multivariate asset modeling, multivariate normal inverse Gaussian process, multivariate subordinators, subordinated L{\'e}vy processes",

author = "Petar Jevtic and Marina Marena and Patrizia Semeraro",

note = "Publisher Copyright: {\textcopyright} 2019 World Scientific Publishing Company.",

year = "2019",

month = mar,

day = "1",

doi = "10.1142/S0219024918500589",

language = "English (US)",

volume = "22",

journal = "International Journal of Theoretical and Applied Finance",

issn = "0219-0249",

publisher = "World Scientific Publishing Co. Pte Ltd",

number = "2",

}

TY - JOUR

T1 - MULTIVARIATE MARKED POISSON PROCESSES and MARKET RELATED MULTIDIMENSIONAL INFORMATION FLOWS

AU - Jevtic, Petar

AU - Marena, Marina

AU - Semeraro, Patrizia

PY - 2019/3/1

Y1 - 2019/3/1

N2 - 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.

AB - 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.

KW - Marked Poisson processes

KW - multivariate Poisson random measure

KW - multivariate asset modeling

KW - multivariate normal inverse Gaussian process

KW - multivariate subordinators

KW - subordinated Lévy processes

UR - http://www.scopus.com/inward/record.url?scp=85057788670&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=85057788670&partnerID=8YFLogxK

U2 - 10.1142/S0219024918500589

DO - 10.1142/S0219024918500589

M3 - Article

AN - SCOPUS:85057788670

SN - 0219-0249

VL - 22

JO - International Journal of Theoretical and Applied Finance

JF - International Journal of Theoretical and Applied Finance

IS - 2

M1 - 1850058

ER -

MULTIVARIATE MARKED POISSON PROCESSES and MARKET RELATED MULTIDIMENSIONAL INFORMATION FLOWS

Abstract

Keywords

ASJC Scopus subject areas

Access to Document

Other files and links

Fingerprint

Cite this