Modelo estocástico para el precio de activos riesgosos utilizando procesos Hawkes
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 modelo para el retorno logarítmico de activos riesgosos en continuo.
- Autores:
-
Moreno Trujillo, John Freddy
- Tipo de recurso:
- Article of journal
- Fecha de publicación:
- 2019
- Institución:
- Universidad Externado de Colombia
- Repositorio:
- Biblioteca Digital Universidad Externado de Colombia
- Idioma:
- spa
- OAI Identifier:
- oai:bdigital.uexternado.edu.co:001/7773
- Acceso en línea:
- https://bdigital.uexternado.edu.co/handle/001/7773
https://doi.org/10.18601/17941113.n15.06
- Palabra clave:
- Hawkes processes;
finance
procesos Hawkes;
finanzas
- Rights
- openAccess
- License
- John Freddy Moreno Trujillo - 2019
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| dc.title.spa.fl_str_mv |
Modelo estocástico para el precio de activos riesgosos utilizando procesos Hawkes |
| dc.title.translated.eng.fl_str_mv |
Stochastic model for risky assets price using Hawkes processes |
| title |
Modelo estocástico para el precio de activos riesgosos utilizando procesos Hawkes |
| spellingShingle |
Modelo estocástico para el precio de activos riesgosos utilizando procesos Hawkes Hawkes processes; finance procesos Hawkes; finanzas |
| title_short |
Modelo estocástico para el precio de activos riesgosos utilizando procesos Hawkes |
| title_full |
Modelo estocástico para el precio de activos riesgosos utilizando procesos Hawkes |
| title_fullStr |
Modelo estocástico para el precio de activos riesgosos utilizando procesos Hawkes |
| title_full_unstemmed |
Modelo estocástico para el precio de activos riesgosos utilizando procesos Hawkes |
| title_sort |
Modelo estocástico para el precio de activos riesgosos utilizando procesos Hawkes |
| dc.creator.fl_str_mv |
Moreno Trujillo, John Freddy |
| dc.contributor.author.none.fl_str_mv |
Moreno Trujillo, John Freddy |
| dc.subject.eng.fl_str_mv |
Hawkes processes; finance |
| topic |
Hawkes processes; finance procesos Hawkes; finanzas |
| dc.subject.spa.fl_str_mv |
procesos Hawkes; finanzas |
| description |
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 modelo para el retorno logarítmico de activos riesgosos en continuo. |
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2019 |
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2019-05-13 00:00:00 2022-09-08T13:41:29Z |
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2019-05-13 00:00:00 2022-09-08T13:41:29Z |
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2019-05-13 |
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Artículo de revista |
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http://purl.org/coar/resource_type/c_2df8fbb1 |
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http://purl.org/coar/resource_type/c_6501 http://purl.org/coar/resource_type/c_6501 |
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http://purl.org/coar/version/c_970fb48d4fbd8a85 |
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Text |
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Journal article |
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10.18601/17941113.n15.06 |
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2346-2140 |
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1794-1113 |
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https://bdigital.uexternado.edu.co/handle/001/7773 |
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https://doi.org/10.18601/17941113.n15.06 |
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https://bdigital.uexternado.edu.co/handle/001/7773 https://doi.org/10.18601/17941113.n15.06 |
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spa |
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spa |
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https://revistas.uexternado.edu.co/index.php/odeon/article/download/5952/7677 https://revistas.uexternado.edu.co/index.php/odeon/article/download/5952/7887 |
| dc.relation.citationedition.spa.fl_str_mv |
Núm. 15 , Año 2018 : Julio-Diciembre |
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172 |
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15 |
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161 |
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Odeon |
| dc.relation.references.spa.fl_str_mv |
Aıt-Sahalia, Y., Cacho-Diaz, J., y Laeven, R. (2013). Modelling financial contagion using mutually exciting hawkes processes. Preprint. Asmussen, S. (2008). Applied probability and queues (Vol. 51). Springer Science & Business Media. Black, F., y Scholes, M. (1973). The pricing of options and corporate liabilities. Journal of Political Economy, 81(3), 637-654. Bowsher, C. G. (2007). Modelling security market events in continuous time: Intensity based, multivariate point process models. Journal of Econometrics, 141(2), 876-912. Chávez-Demoulin, V., y McGill, J. (2012). High-frequency financial data modeling using hawkes processes. Journal of Banking & Finance, 36(12), 3415-3426. Hawkes, A. G. (1971). Spectra of some self-exciting and mutually exciting point processes. Biometrika, 58(1), 83-90. Heston, S. L. (1993). A closed-form solution for options with stochastic volatility with applications to bond and currency options. The Review of Financial Studies, 6(2), 327-343. Law, B., y Viens, F. (2016). Hawkes processes and their applications to high-frequency data modeling. Handbook of High-Frequency Trading and Modeling in Finance, 9, 183. Merton, R. C. (1976a). The impact on option pricing of specification error in the underlying stock price returns. The Journal of Finance, 31(2), 333-350. Merton, R. C. (1976b). Option pricing when underlying stock returns are discontinuous. Journal of Financial Economics, 3(1-2), 125-144. Ogata, Y. (1981). On lewis’ simulation method for point processes. IEEE Transactions on Information Theory, 27(1), 23-31. |
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John Freddy Moreno Trujillo - 2019 |
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info:eu-repo/semantics/openAccess |
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Facultad de Finanzas, Gobierno y Relaciones Internacionales |
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Moreno Trujillo, John Freddyvirtual::483-12019-05-13 00:00:002022-09-08T13:41:29Z2019-05-13 00:00:002022-09-08T13:41:29Z2019-05-13El 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 modelo para el retorno logarítmico de activos riesgosos en continuo.The document presents the basic elements to understand the Hawkes processes and their application in finance. The asymptotic behavior of these processes is characterized and the Hawkes diffusion process is described as a model for the logarithmic return of risky assets in continuous time.application/pdftext/html10.18601/17941113.n15.062346-21401794-1113https://bdigital.uexternado.edu.co/handle/001/7773https://doi.org/10.18601/17941113.n15.06spaFacultad de Finanzas, Gobierno y Relaciones Internacionaleshttps://revistas.uexternado.edu.co/index.php/odeon/article/download/5952/7677https://revistas.uexternado.edu.co/index.php/odeon/article/download/5952/7887Núm. 15 , Año 2018 : Julio-Diciembre17215161OdeonAıt-Sahalia, Y., Cacho-Diaz, J., y Laeven, R. (2013). Modelling financial contagion using mutually exciting hawkes processes. Preprint.Asmussen, S. (2008). Applied probability and queues (Vol. 51). Springer Science & Business Media.Black, F., y Scholes, M. (1973). The pricing of options and corporate liabilities. Journal of Political Economy, 81(3), 637-654.Bowsher, C. G. (2007). Modelling security market events in continuous time: Intensity based, multivariate point process models. Journal of Econometrics, 141(2), 876-912.Chávez-Demoulin, V., y McGill, J. (2012). High-frequency financial data modeling using hawkes processes. Journal of Banking & Finance, 36(12), 3415-3426.Hawkes, A. G. (1971). Spectra of some self-exciting and mutually exciting point processes. Biometrika, 58(1), 83-90.Heston, S. L. (1993). A closed-form solution for options with stochastic volatility with applications to bond and currency options. The Review of Financial Studies, 6(2), 327-343.Law, B., y Viens, F. (2016). Hawkes processes and their applications to high-frequency data modeling. Handbook of High-Frequency Trading and Modeling in Finance, 9, 183.Merton, R. C. (1976a). The impact on option pricing of specification error in the underlying stock price returns. The Journal of Finance, 31(2), 333-350.Merton, R. C. (1976b). Option pricing when underlying stock returns are discontinuous. Journal of Financial Economics, 3(1-2), 125-144.Ogata, Y. (1981). On lewis’ simulation method for point processes. IEEE Transactions on Information Theory, 27(1), 23-31.John Freddy Moreno Trujillo - 2019info:eu-repo/semantics/openAccesshttp://purl.org/coar/access_right/c_abf2https://creativecommons.org/licenses/by-nc-sa/4.0/https://revistas.uexternado.edu.co/index.php/odeon/article/view/5952Hawkes processes;financeprocesos Hawkes;finanzasModelo estocástico para el precio de activos riesgosos utilizando procesos HawkesStochastic model for risky assets price using Hawkes processesArtículo de revistahttp://purl.org/coar/resource_type/c_6501http://purl.org/coar/resource_type/c_6501http://purl.org/coar/resource_type/c_2df8fbb1http://purl.org/coar/version/c_970fb48d4fbd8a85Textinfo:eu-repo/semantics/articleJournal articlehttp://purl.org/redcol/resource_type/ARTREFinfo:eu-repo/semantics/publishedVersionPublicationMoreno Trujillovirtual::483-1John Freddyvirtual::483-1https://scholar.google.es/citations?user=j7aRNrAAAAAJ&hl=esvirtual::483-10000-0002-2772-6931virtual::483-142bf6d50-5adc-4151-9517-43591b61e5f2virtual::483-142bf6d50-5adc-4151-9517-43591b61e5f2virtual::483-1OREORE.xmltext/xml2566https://bdigital.uexternado.edu.co/bitstreams/982f6d35-a61e-451a-9650-789eeeb743c6/downloadd7904ee8df7870dbdb607fd13e4d8ae1MD51001/7773oai:bdigital.uexternado.edu.co:001/77732022-10-10 11:30:02.354https://creativecommons.org/licenses/by-nc-sa/4.0/John Freddy Moreno Trujillo - 2019https://bdigital.uexternado.edu.coUniversidad Externado de Colombiametabiblioteca@metabiblioteca.org |