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Donsker Type Theorem for the Rosenblatt Process and a Binary Market Model

Abstract In this article, we prove a Donsker type approximation theorem for the Rosenblatt process, which is a selfsimilar stochastic process exhibiting long range dependence. We use this result to construct a binary market model driven by this process and we show that the model admits arbitrage opportunities. Finally we present some numerical simulations to illustrate the method of approximation.