Stochastic model for assets price in high frequency based on randomly indexed branching processes

We present an asset pricing model based on a randomly indexed branching process as proposed by T.W. Epps in 1996, as an alternative for the stochastic modeling of the price of assets in high frequency. The basic results of the theory that allows understanding the model, the characterization of the p...

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Detalles Bibliográficos
Autor Principal: Moreno Trujillo, John Freddy
Formato: Artículo (Article)
Lenguaje:Español (Spanish)
Publicado: Facultad de Finanzas, Gobierno y Relaciones Internacionales 2018
Acceso en línea:https://revistas.uexternado.edu.co/index.php/odeon/article/view/5639