Derivatives pricing with marked point processes using tick-by-tick data
Work
Year: 2012
Type: article
Abstract: I propose to model stock price tick-by-tick data via a non-explosive marked point process. The arrival of trades is driven by a counting process in which the waiting time between trades possesses a Mi... more
Source: Quantitative Finance
Author Álvaro Cartea
Institution Universidad Carlos III de Madrid
Cites: 29
Cited by: 36
Related to: 10
FWCI: 2.091
Citation percentile (by year/subfield): 95.42
Subfield: Finance
Domain: Social Sciences
Open Access status: green