2026-07-072026-07-07http://salesiana.dossiersoluciones.com/handle/123456789/208953In this paper, we prove a Donsker type approximation theorem for the Rosenblatt process, which is a selfsimilar stochastic process exhibiting long range dependence. By using numerical results and simulated data, we show that this approximation performs very well. We use this result to construct a binary market model driven by this process and we show that the model admits arbitrage opportunities.ProbabilityTrading and Market Microstructuretext