Cardiff University | Prifysgol Caerdydd ORCA
Online Research @ Cardiff 
WelshClear Cookie - decide language by browser settings

Fractional Skellam processes with applications to finance

Kerss, Alexander, Leonenko, Nikolai N. and Sikorskii, Alla 2014. Fractional Skellam processes with applications to finance. Fractional Calculus and Applied Analysis 17 (2) , pp. 532-551. 10.2478/s13540-014-0184-2

Full text not available from this repository.

Abstract

The recent literature on high frequency financial data includes models that use the difference of two Poisson processes, and incorporate a Skellam distribution for forward prices. The exponential distribution of inter-arrival times in these models is not always supported by data. Fractional generalization of Poisson process, or fractional Poisson process, overcomes this limitation and has Mittag-Leffler distribution of inter-arrival times. This paper defines fractional Skellam processes via the time changes in Poisson and Skellam processes by an inverse of a standard stable subordinator. An application to high frequency financial data set is provided to illustrate the advantages of models based on fractional Skellam processes.

Item Type: Article
Date Type: Publication
Status: Published
Schools: Mathematics
Subjects: Q Science > QA Mathematics
Uncontrolled Keywords: fractional Poisson process; fractional Skellam process; Mittag-Leffler distribution; high frequency financial data
Publisher: Springer
ISSN: 1311-0454
Last Modified: 05 Mar 2019 16:24
URI: http://orca.cf.ac.uk/id/eprint/59087

Citation Data

Cited 2 times in Google Scholar. View in Google Scholar

Cited 11 times in Scopus. View in Scopus. Powered By Scopus® Data

Actions (repository staff only)

Edit Item Edit Item