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Investment/consumption problem in illiquid markets with regimes switching
Optimal consumption liquidity effects regime-switching models viscosity solutions integro-differential system
2011/10/9
Abstract: We consider an illiquid financial market with different regimes modeled by a continuous-time finite-state Markov chain. The investor can trade a stock only at the discrete arrival times of a...
Scaling properties of first-passage time probabilities in financial markets
financial markets first-passage time probability Statistical Finance
2011/9/29
Abstract: Financial markets provide an ideal frame for the study of first-passage time events of non-Gaussian correlated dynamics mainly because large data sets are available. Tick-by-tick data of six...
The Fundamental Theorem of Asset Pricing, the Hedging Problem and Maximal Claims in Financial Markets with Short Sales Prohibitions
Fundamental Theorem of Asset Pricing Hedging Problem Maximal claims Supermartingale
2011/3/2
This paper consists of two parts. In the first part, by building on the work of Jouini
and Kallal in [26], Sch¨urger in [37], Frittelli in [15], Pham and Touzi in [34] and Napp in [33], we prove the ...
Kinetic models for socio-economic dynamics of speculative markets
kinetic models opinion formation stock market power laws behavioral finance
2010/12/16
In this paper we introduce a simple model for a financial market characterized by a sin-
gle stock or good and an interplay between two different traders populations, chartists and
fundamentalists, ...
We study how information perturbations can destabilize two-sided matching mar-kets. In our model, agents arrive on the market over two periods, while agents in the first period do not know the types o...
We derive a mesoscopic description of the behavior of a simple financial market where the agents can create their own portfolio between two investment alternatives: a stock and a bond. The model is de...
Large-volatility dynamics in financial markets
Large-volatility dynamics financial markets
2010/4/27
We investigate the large-volatility dynamics in financial markets, based on the minutely and daily data of the Chinese Indices and German DAX. The dynamic relaxation both before and after large volati...
I prove that if markets are weak-form efficient, meaning current prices fully reflect all information available in past prices, then P = NP, meaning every computational problem whose solution can be v...
Reverse Engineering Financial Markets with Majority and Minority Games using Genetic Algorithms
agent-based models Genetic Algorithms
2010/4/27
Using virtual stock markets with artificial interacting software investors, aka agent-based models (ABMs), we present a method to reverse engineer real-world financial time series. We model financial ...
Pricing options in illiquid markets: optimal systems, symmetry reductions and exact solutions
illiquid market nonlinearity explicit solutions Liegroup analysis
2010/4/27
We study a class of nonlinear pricing models which involves the feedback effect from the dynamic hedging strategies on the price of asset introduced by Sircar and Papanicolaou. We are first to study t...
Jump-diffusion modeling in emission markets
stochastic modeling for emission trading environmental finance risk-neutral pricing market equilibrium jump-diffusion models
2010/4/27
Mandatory emission trading schemes are being established around the world. Participants of such market schemes are always exposed to risks. This leads to the creation of an accompanying market for emi...
Minimal Martingale Measures for Discrete-time Incomplete Financial Markets
Minimal martingale measures incomplete financial markets
2007/12/11
In this note, we give a characterization of the minimal martingale measure for a general discrete-time incomplete financial market. Then we concretely work out the minimal martingale measure for a spe...
Oligopolistic Equilibrium Analysis for Electricity Markets: A Nonlinear Complementarity Approach
2007/7/28
期刊信息
篇名
Oligopolistic Equilibrium Analysis for Electricity Markets: A Nonlinear Complementarity Approach
语种
英文
撰写或编译
撰写
作者
Xian Wang,Yuzeng Li,Shaohua Zhang
第一作者单位
刊物名称
IEEE Transaction on Power Syste...