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Underlying dynamics of typical fluctuations of an emerging market price index: the Heston model from minutes to months
(Elsevier B.V., 2006-02-15)
We investigate the Heston model with stochastic volatility and exponential tails as a model for the typical price fluctuations of the Brazilian São Paulo Stock Exchange Index (IBOVESPA). Raw prices are first corrected for ...
Underlying dynamics of typical fluctuations of an emerging market price index: the Heston model from minutes to months
(Elsevier B.V., 2006-02-15)
We investigate the Heston model with stochastic volatility and exponential tails as a model for the typical price fluctuations of the Brazilian São Paulo Stock Exchange Index (IBOVESPA). Raw prices are first corrected for ...
GetHFData: A R package for downloading and aggregating high frequency trading data from Bovespa
(Lociedade Brasileira de Finanças, 2016)
Un modelo de creación de mercado con trading de alta frecuencia
(Facultad de Finanzas, Gobierno y Relaciones Internacionales, 2017-05-18)
En este artículo se hace una presentación del trading de alta frecuencia, junto con sus características y estrategias. Posteriormente, bajo el contexto de transacciones de alta frecuencia (HFT), se desarrolla un modelo de ...
Fast and Adaptive Cointegration Based Model for Forecasting High Frequency Financial
(2019)
Cointegration is a long-run property of some non-stationary time series where a linear combination of those time series is stationary. This behaviour has been studied in finance because cointegration restrictions often ...
Modelo estocástico para el precio de activos riesgosos utilizando procesos Hawkes
(Facultad de Finanzas, Gobierno y Relaciones Internacionales, 2019-05-13)
El documento presenta los elementos básicos para entender los procesos Hawkes y su aplicación en finanzas. Se caracteriza el comportamiento asintótico de estos procesos y se describe el proceso de difusión de Hawkes como ...
High-Frequency trading strategy based on deep neural networks
(2019-07-04)
Recent conceptual and engineering breakthroughs in Machine Learning (ML), particularly in Deep Neural Networks (DNN), have revolutionized the Computer Science field and have been responsible for astonishing breakthroughs ...
How fast do stock prices adjust to market efficiency? Evidence from a detrended fluctuation analysis
(2013)
In this paper we analyse price fluctuations with the aim of measuring how long the market takes to adjust prices to weak-form efficiency, i.e., how long it takes for prices to adjust to a fractional Brownian motion with a ...