Modelos estocásticos e propriedades estatísticas em mercados de alta frequência

Modelos estocásticos e propriedades estatísticas em mercados de alta frequência

Neste trabalho, apresentamos um conjunto de fatos empíricos e propriedades estatística de negociações em alta frequência, e discutimos algumas questões gerais comuns a dados de alta frequência tais: como discretização, espaçamento temporal irregular, durações correlacionadas, periodicidade diária, c...

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Bibliographic Details
Main Author:	Molina, Helder Alan Rojas
Other Authors:	Iambartsev, Anatoli
Format:	Others
Language:	pt
Published:	Biblioteca Digitais de Teses e Dissertações da USP 2016
Subjects:	Dados de alta frequência Fluxos de ordens bid e ask Funções Lyapunov Hidden liquidity High frequency data Limit order book Liquidez oculta Lyapunov functions Order flows bid and ask Poisson processes Processos de Poisson
Online Access:	http://www.teses.usp.br/teses/disponiveis/45/45133/tde-05022018-110452/

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