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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

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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

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