{"id":86609,"date":"2018-03-10T00:11:16","date_gmt":"2018-03-10T00:11:16","guid":{"rendered":"https:\/\/www.deberes.net\/tesis\/sin-categoria\/analisis-caotico-de-series-temporales-financieras-de-alta-frecuencia-el-contrato-de-futuro-sobre-el-bono-nacional-a-10-anos\/"},"modified":"2018-03-10T00:11:16","modified_gmt":"2018-03-10T00:11:16","slug":"analisis-caotico-de-series-temporales-financieras-de-alta-frecuencia-el-contrato-de-futuro-sobre-el-bono-nacional-a-10-anos","status":"publish","type":"post","link":"https:\/\/www.deberes.net\/tesis\/ciencias-economicas\/analisis-caotico-de-series-temporales-financieras-de-alta-frecuencia-el-contrato-de-futuro-sobre-el-bono-nacional-a-10-anos\/","title":{"rendered":"Analisis caotico de series temporales financieras de alta frecuencia. el contrato de futuro sobre el bono nacional a 10 a\u00f1os."},"content":{"rendered":"<h2>Tesis doctoral de <strong> Ricardo Gimeno Nogues <\/strong><\/h2>\n<p>Se propone el uso de series temporales de alta frecuencia, cinco minutos y operaci\u00f3n a operaci\u00f3n (tick by tick) tratado como una secci\u00f3n de poincare, destacando la importancia de reducir al maximo el intervalo de tiempo entre observacion y observacion. Para el estudio de caos en mercados financieros se analizan el rendimiento, volatilidad y duraci\u00f3n del futuro sobre el bono nocional a 10 a\u00f1os. Sobre estas series se usan modelos arima,garch,garch-m,egarch y arfima. Tambien ese estudia la repercusi\u00f3n del analisis de itervencion en los resultados obtenidos.  sobre los residuos de estas series se aplican diversos metodos de deteccion de caos: graficas de recurrencias, dimension de correlacion, exponentes de lyapunov, entrop\u00eda de kolmogorov y el contraste bds. Se han encontrado dependencias de tipo no lineal y estructuras autosimilares(fractales) en las series.  adem\u00e1s se procede a predecir el comportamiento futuro de las series temporales, usando tanto metodos globales (funciones de base radial y redes neuronales artificiales) como locales (vecinos pr\u00f3ximos, ponderados y lineales).<\/p>\n<p>&nbsp;<\/p>\n<h3>Datos acad\u00e9micos de la tesis doctoral \u00ab<strong>Analisis caotico de series temporales financieras de alta frecuencia. el contrato de futuro sobre el bono nacional a 10 a\u00f1os.<\/strong>\u00ab<\/h3>\n<ul>\n<li><strong>T\u00edtulo de la tesis:<\/strong>\u00a0 Analisis caotico de series temporales financieras de alta frecuencia. el contrato de futuro sobre el bono nacional a 10 a\u00f1os. <\/li>\n<li><strong>Autor:<\/strong>\u00a0 Ricardo Gimeno Nogues <\/li>\n<li><strong>Universidad:<\/strong>\u00a0 Pontificia comillas<\/li>\n<li><strong>Fecha de lectura de la tesis:<\/strong>\u00a0 27\/09\/2000<\/li>\n<\/ul>\n<p>&nbsp;<\/p>\n<h3>Direcci\u00f3n y tribunal<\/h3>\n<ul>\n<li><strong>Director de la tesis<\/strong>\n<ul>\n<li>Eduardo Morales Martinez<\/li>\n<\/ul>\n<\/li>\n<li><strong>Tribunal<\/strong>\n<ul>\n<li>Presidente del tribunal: andres De pablo lopez <\/li>\n<li>enrique Garc\u00eda p\u00e9rez (vocal)<\/li>\n<li>Emilio Cerd\u00e1 tena (vocal)<\/li>\n<li>margarita Prat rodrigo (vocal)<\/li>\n<\/ul>\n<\/li>\n<\/ul>\n<p>&nbsp;<\/p>\n","protected":false},"excerpt":{"rendered":"<p>Tesis doctoral de Ricardo Gimeno Nogues Se propone el uso de series temporales de alta frecuencia, cinco minutos y operaci\u00f3n [&hellip;]<\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"site-sidebar-layout":"default","site-content-layout":"","ast-site-content-layout":"","site-content-style":"default","site-sidebar-style":"default","ast-global-header-display":"","ast-banner-title-visibility":"","ast-main-header-display":"","ast-hfb-above-header-display":"","ast-hfb-below-header-display":"","ast-hfb-mobile-header-display":"","site-post-title":"","ast-breadcrumbs-content":"","ast-featured-img":"","footer-sml-layout":"","theme-transparent-header-meta":"","adv-header-id-meta":"","stick-header-meta":"","header-above-stick-meta":"","header-main-stick-meta":"","header-below-stick-meta":"","astra-migrate-meta-layouts":"default","ast-page-background-enabled":"default","ast-page-background-meta":{"desktop":{"background-color":"var(--ast-global-color-4)","background-image":"","background-repeat":"repeat","background-position":"center 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