Multivariate marked Poisson processes and market related multidimensional information ows

The class of marked Poisson processes and its connection with subordinated L�évy processes allow us to propose a new interpretation of multidimensional information flows and their relation to market movements. The new... [ view full abstract ]

The class of marked Poisson processes and its connection with subordinated L�évy processes allow us to propose a new interpretation of multidimensional information flows and their relation to market movements. The new approach provides a uni ed framework for multivariate asset return models in a L�évy 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.