全部 标题 作者
关键词 摘要

OALib Journal期刊
ISSN: 2333-9721
费用:99美元

查看量下载量

相关文章

更多...

Market Microstructure and Price Discovery

DOI: 10.4236/jmf.2013.31001, PP. 1-9

Keywords: Price Theory and Market Microstructure, Stochastic Difference Equations, Bid, Ask, Price Processes in Discrete Time

Full-Text   Cite this paper   Add to My Lib

Abstract:

The design of this study is to investigate the evolution of a stochastic price process consequent to discrete processes of bids and offers in a market microstructure setting. Under a set of flexible assumptions about agent preferences, we generate a price process to compare with observation. Specifically, we allow for both rational and irrational economic behavior, abstracting the inquiry from classical studies relying on utility theory. The goal is to provide a set of economic primitives which point inexorably to the price processes we see, rather than to assume such process from the start.

References

[1]  A. Madhavan, “Market Microstructure: A Survey,” Journal of Financial Markets, Vol. 3, No. 3, 2000, pp. 205258. doi:10.1016/S1386-4181(00)00007-0
[2]  H. R. Stoll, Elsevier/North-Holland, Amsterdam, 2003.
[3]  O. E. Barndorff-Nielsen, “Processes of Normal Inverse Gaussian Type,” Finance and Stochastics, Vol. 2, No. 1, 1998, pp. 41-68. doi:10.1007/s007800050032
[4]  E. Eberlein and U. Keller, “Hyperbolic Distributions in Finance,” Bernoulli, Vol. 1, No. 3, 1995, pp. 281-299. doi:10.2307/3318481
[5]  T. Bollerslev, “Financial Econometrics: Past Developments and Future Challenges,” Journal of Econometrics, Vol. 100, No. 1, 2001, pp. 41-51. doi:10.1016/S0304-4076(00)00052-X
[6]  R. F. Engle, “The Econometrics of Ultra-High-Frequency Data,” Econometrica, Vol. 68, No. 1, 2000, pp. 1-22. doi:10.1111/1468-0262.00091
[7]  R. F. Engle and J. R. Russell, “Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data,” Econometrica, Vol. 66, No. 5, 1998, pp. 1127-1162. doi:10.2307/2999632
[8]  J. Hasbrouck, “The Dynamics of Discrete Bid and Ask Quotes,” The Journal of Finance, Vol. 54, No. 6, 1999, pp. 2109-2142. doi:10.1111/0022-1082.00183
[9]  O. Bondarenko, “Competing Market Makers, Liquidity Provision, and Bid-Ask Spreads,” Journal of Financial Markets, Vol. 4, 2001, pp. 269-308. doi:10.1016/S1386-4181(01)00014-3
[10]  M. Schaden, “Quantum Finance,” Physica A, Vol. 316, No. 1-4, 2002, pp. 511-538. doi:10.1016/S0378-4371(02)01200-1
[11]  S. Hermannn and P. Imkeller, “The Exit Problem for Diffusions with Time Periodic Drift and Stochastic Resonance,” Prepublication No. 01, Institut de Mathématiques élie Cartan, Université Nancy 1, Lorraine, 2003.
[12]  P. C. Kettler, O. M. Pamen and F. Proske, “On Local Times: Application to Pricing Using Bid-Ask,” Preprint #13, University of Oslo, Oslo, 2009. www.paulcarlislekettler.net/docs/Oliv.pdf
[13]  G. Di Nunno, B. Oksendal and F. Proske, “Malliavin Calculus for Lévy Processes with Applications to Finance,” Universitext, 2nd Edition, Springer, Berlin, 2009.
[14]  A. Cartea and T. Meyer-Brandis, “How Does Duration between Trades of Underlying Securities Affect Option Prices?” 2007. http://ssrn.com/abstract=1032714

Full-Text

Contact Us

service@oalib.com

QQ:3279437679

WhatsApp +8615387084133