Segmentation algorithm for non-stationary compound Poisson processes. With an application to inventory time series of market members in a financial market / Toth B; Lillo F; Farmer JD. - In: THE EUROPEAN PHYSICAL JOURNAL. B, CONDENSED MATTER PHYSICS. - ISSN 1434-6028. - 78(2010), pp. 235-243.
Titolo: | Segmentation algorithm for non-stationary compound Poisson processes. With an application to inventory time series of market members in a financial market |
Autori: | |
Data di pubblicazione: | 2010 |
Rivista: | |
Parole Chiave: | Stochastic processes; Statistics; Financial markets; Econophysics |
Handle: | http://hdl.handle.net/11384/20629 |
Appare nelle tipologie: | 1.1 Articolo in rivista |
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