Multivariate Marked Poisson Processes and Market Related Multidimensional Information Flows

Jevtic, Petar; Marena, Marina; Semeraro, Patrizia

doi:10.1142/s0219024918500589

Cited by 3 publications

(2 citation statements)

References 18 publications

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“…Remark 2 Subordination of multiparameter processes has been introduced in Barndorff-Nielsen et al [2], where the authors consider the case of a Lévy subordinator. In Jevtić et al [14], the authors consider the case where the multiparameter process is the multiparameter Brownian motion in 4.1. The Sato subordinated Brownian motion in (4.2) has the same unit time distribution of a subordinated multiparameter Brownian motion, as one can see from the unit time characteristic function.…”

Section: Sato-et˛s Subordinated Brownian Motionmentioning

confidence: 99%

Multivariate tempered stable additive subordination for financial models

Semeraro

2022

Math Finan Econ

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We study a class of multivariate tempered stable distributions and introduce the associated class of tempered stable Sato subordinators. These Sato subordinators are used to build additive inhomogeneous processes by subordination of a multiparameter Brownian motion. The resulting process is additive and time inhomogeneous and it is a generalization of multivariate Lévy processes with good fit properties on financial data. We specify the model to have unit time normal inverse Gaussian distribution and we discuss the ability of the model to fit time inhomogeneous correlations on real data.

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Section: Sato-et˛s Subordinated Brownian Motionmentioning

confidence: 99%

Multivariate tempered stable additive subordination for financial models

Semeraro

2022

Math Finan Econ

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“…Subordination of multiparameter processes has been introduced in Barndorff-Nielsen et al (2001), where the authors consider the case of a Lévy subordinator. In Jevtić et al (2019), the authors consider the case where the multiparameter process is the multiparameter Brownian motion in 4.1. The Sato subordinated Brownian motion in (4.2) has the same unit time distribution of a subordinated multiparameter Brownian motion, as one can see from the unit time characteristic function.…”

Section: Sato-et αS Subordinated Brownian Motionmentioning

confidence: 99%

Multivariate tempered stable additive subordination for financial models

Semeraro¹

2021

Preprint

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We study a class of multivariate tempered stable distributions and introduce the associated class of tempered stable Sato subordinators. These Sato subordinators are used to build additive inhomogeneous processes by subordination of a multiparameter Brownian motion. The resulting process is additive and time inhomogeneous. Furthermore, these processes are associated with the distribution at unit time of a class of Lévy process with good fit properties on financial data. The main feature of the Sato subordinated Brownian motion is that it has time dependent correlation, whereas the Lévy counterpart does not. We provide a numerical illustration of the correlation dynamics.

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