Resumen

CLIMENT HERNANDEZ, José Antonio; HOYOS-REYES, Luis Fernando  y  MARTINEZ-PREECE, Marissa R.. A hybrid alpha-stable model development for high frequency trading markets. Contad. Adm [online]. 2018, vol.63, n.4. ISSN 0186-1042.  https://doi.org/10.22201/fca.24488410e.2018.1341.

Business activities require to obtain, organize and manage information from large amounts of data. In hedge funds, short selling trade and derivatives valuation, agents change their strategies to improve pro- fits, and therefore to increase their possibilities to remain in the market, as a result of finding more accu- rate methods to process ever larger volume of information, considering that the information is not evenly distributed among markets participants. In this paper, a hybrid three stage model is formulated consisting of: a high frequency market model through a non-stationary Compound Poisson Process, a multilayer perceptron trained by backpropagation and, finally, estimators based on alpha-stable distributions, as an initial overview to develop a high frequency trading market operating system.

Palabras llave : α-stable processes; non-stationary compound Poisson processes; multilayer Perceptron; High frequency markets; Big Data.

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