Dynamic Markov Bridges and Market Microstructure

Theory and Applications

Szerző: Umut Çetin, Albina Danilova

Nyelv:

Kötés: Kemény kötésű

Kiadó: Springer-Verlag New York Inc.

Elérhetőség: Beszállítói készleten alacsony példányszámban

Küldés 13-18 napon belül

52 491 Ft

This book undertakes a detailed construction of Dynamic Markov Bridges using a combination of theory...

Információk a könyvről

Szerző

Umut Çetin, Albina Danilova

Nyelv

Angol

Kötés

Könyv - Kemény kötésű

Kiadva

2018

oldal

234

EAN

9781493988334

ISBN

1493988336

Enbook ID

19761969

Kiadó

Springer-Verlag New York Inc.

Súly

528

Méretek

243 x 163 x 17

Teljes leírás

This book undertakes a detailed construction of Dynamic Markov Bridges using a combination of theory and real-world applications to drive home important concepts and methodologies. In Part I, theory is developed using tools from stochastic filtering, partial differential equations, Markov processes, and their interplay. Part II is devoted to the applications of the theory developed in Part I to asymmetric information models among financial agents, which include a strategic risk-neutral insider who possesses a private signal concerning the future value of the traded asset, non-strategic noise traders, and competitive risk-neutral market makers. A thorough analysis of optimality conditions for risk-neutral insiders is provided and the implications on equilibrium of non-Gaussian extensions are discussed. A Markov bridge, first considered by Paul Lévy in the context of Brownian motion, is a mathematical system that undergoes changes in value from one state to another when the initial and final states are fixed. Markov bridges have many applications as stochastic models of real-world processes, especially within the areas of Economics and Finance. The construction of a Dynamic Markov Bridge, a useful extension of Markov bridge theory, addresses several important questions concerning how financial markets function, among them: how does the presence of an insider trader impact market efficiency; how can insider trading on financial markets be detected; how does information assimilate in market prices; and what is the optimal pricing policy of a particular market maker. Principles in this book will appeal to probabilists, statisticians, economists, researchers, and graduate students interested in Markov bridges and market microstructure theory.

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Dynamic Markov Bridges and Market Microstructure

Theory and Applications

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