Donsker theorem for the Rosenblatt process and a binary market model
概率论
2008-12-02 v1 交易与市场微观结构
摘要
In this paper, we prove a Donsker type approximation theorem for the Rosenblatt process, which is a selfsimilar stochastic process exhibiting long range dependence. By using numerical results and simulated data, we show that this approximation performs very well. We use this result to construct a binary market model driven by this process and we show that the model admits arbitrage opportunities.
引用
@article{arxiv.math/0703085,
title = {Donsker theorem for the Rosenblatt process and a binary market model},
author = {Ciprian Tudor and Soledad Torres},
journal= {arXiv preprint arXiv:math/0703085},
year = {2008}
}