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Multivariate Marked Poisson Processes And Market Related Multidimensional Information Flows

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  • PETAR JEVTIĆ

    (School of Mathematical and Statistical Sciences, Arizona State University, 901 S Palm Walk Tempe, AZ 85287, USA)

  • MARINA MARENA

    (Department of Economics and Statistics, University of Torino, C.so Unione Sovietica, 218 bis 10134 Torino, Italy)

  • PATRIZIA SEMERARO

    (Dipartimento di Scienze Matematiche, Politecnico di Torino, Corso Duca degli Abruzzi, 24, Torino, Italy)

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.

Suggested Citation

  • Petar Jevtić & Marina Marena & Patrizia Semeraro, 2019. "Multivariate Marked Poisson Processes And Market Related Multidimensional Information Flows," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(02), pages 1-26, March.
    • Handle: RePEc:wsi:ijtafx:v:22:y:2019:i:02:n:s0219024918500589
    DOI: 10.1142/S0219024918500589
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    References listed on IDEAS

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    Cited by:

    1. Di Nardo, E. & Marena, M. & Semeraro, P., 2020. "On non-linear dependence of multivariate subordinated Lévy processes," Statistics & Probability Letters, Elsevier, vol. 166(C).
    2. Patrizia Semeraro, 2021. "Multivariate tempered stable additive subordination for financial models," Papers 2105.00844, arXiv.org, revised Sep 2021.
    3. Patrizia Semeraro, 2022. "Multivariate tempered stable additive subordination for financial models," Mathematics and Financial Economics, Springer, volume 16, number 3, February.

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