Essays On Financial Markets And Game Theory
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Essays On Financial Markets And Game Theory
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Author : Joshua Mollner
language : en
Publisher:
Release Date : 2015
Essays On Financial Markets And Game Theory written by Joshua Mollner and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with categories.
Trading in financial markets has changed dramatically over the past decade: it has become largely automated and orders of magnitudes faster, and it has become spread out across many venues. Chapters 1 and 2 of this dissertation investigate how this transformation has affected market outcomes. Chapter 1 studies the effect of speed on market outcomes in a setting where information acquisition is endogenous. An increase in trading speed crowds out information acquisition by reducing the gains from trading against mispriced quotes. Thus, faster speeds have two effects on traditional measures of market performance. First, the bid-ask spread declines, since there are fewer informational asymmetries. Second, price efficiency deteriorates, since less information is available to be incorporated into prices. A tradeoff exists between the dual objectives of minimizing the bid-ask spread and maximizing price efficiency. We characterize the frontier of this tradeoff and evaluate several trading mechanisms within this framework. Despite its popularity, the limit order book mechanism generally does not induce outcomes on this frontier. We consider two alternatives: first, a small delay added to the processing of all orders except cancellations, and second, frequent batch auctions. Both induce equilibrium outcomes on this frontier. Chapter 2 investigates how an increase in the number of exchanges affects the bid-ask spread. The welfare consequences of increased exchange competition are theoretically ambiguous. While competition does place downward pressure on the bid-ask spread, this force may be outweighed by increased adverse selection that stems from additional arbitrage opportunities. We investigate this ambiguity empirically by estimating key parameters of the model using detailed trading data from Australia. The benefits of increased competition are outweighed by the costs of multi-venue arbitrage. Compared to the prevailing duopoly, we predict that the counterfactual spread under a monopoly would be 23 percent lower. Further, market design variations on the continuous limit order book would eliminate profits from cross-venue arbitrage strategies and reduce the spread by 51 percent. Finally, eliminating off-exchange trades, so-called dark trading, would reduce the spread by 11 percent. Chapter 3 introduces two new equilibrium refinements for finite normal form games. Both refinements incorporate the intuitive idea that a costless deviation by one player is more likely than a costly deviation by the same or another player. These refinements lead to new restrictions in games with three or more players. Furthermore, these refinements are applied to two well-known auction games: the generalized second price auction and the first-price menu auction. Both refinements select interesting equilibria in these games, and may be interpreted as providing a strategic foundation for the selections that others have made.
Essays On Game Theory Mechanism Design And Financial Economics
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Author : Thomas Rivera
language : en
Publisher:
Release Date : 2020*
Essays On Game Theory Mechanism Design And Financial Economics written by Thomas Rivera and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020* with categories.
Nonlinear Economic Dynamics And Financial Modelling
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Author : Roberto Dieci
language : en
Publisher: Springer
Release Date : 2014-07-26
Nonlinear Economic Dynamics And Financial Modelling written by Roberto Dieci and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-07-26 with Business & Economics categories.
This book reflects the state of the art on nonlinear economic dynamics, financial market modelling and quantitative finance. It contains eighteen papers with topics ranging from disequilibrium macroeconomics, monetary dynamics, monopoly, financial market and limit order market models with boundedly rational heterogeneous agents to estimation, time series modelling and empirical analysis and from risk management of interest-rate products, futures price volatility and American option pricing with stochastic volatility to evaluation of risk and derivatives of electricity market. The book illustrates some of the most recent research tools in these areas and will be of interest to economists working in economic dynamics and financial market modelling, to mathematicians who are interested in applying complexity theory to economics and finance and to market practitioners and researchers in quantitative finance interested in limit order, futures and electricity market modelling, derivative pricing and risk management.
Economic Analysis Of Markets And Games
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Author : Partha Dasgupta
language : en
Publisher: MIT Press
Release Date : 1992
Economic Analysis Of Markets And Games written by Partha Dasgupta and has been published by MIT Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 1992 with Business & Economics categories.
These original essays focus on a wide range of topics related to Frank Hahn'sdistinguished work in economics. Ranging from market analysis and game theory to the microeconomicfoundations of macroeconomics and from equilibrium and optimality with missing markets to economicsand society, they reflect the diversity of modem research in economic theory. What distinguishesHahn's work and many of the essays in this book is that the motivation often comes from practicalconcerns about unemployment, savings and investment, poverty, or the stability of markets.The essaysin Part I deal with the microeconomic foundations of macroeconomics - a field in which Hahn has madeimportant contributions, most notably in the theory of monetary economics. Topics include anevaluation of Hahn's contribution to the theory of distribution and such macroeconomic themes ascoordination failure, multiple equilibria, and strategic issues.Part II contains recentcontributions to game theory reflecting Hahn's interest in the question of what is rationalbehavior. The essays in Part III concentrate on general-equilibrium theory with missing markets, afield in which Hahn has made major advances. Although the essays address a different set of issues,they share with Hahn's works such themes as market failure, indeterminacy of equilibrium, and therole of money.Partha Dasgupta is Professor of Economics at Cambridge University. Douglas Gale isProfessor of Economics at Boston University. Oliver Hart is Professor of Economics at theMassachusetts Institute of Technology. Eric Maskin is Professor of Economics at HarvardUniversity.
Essays On Coordination And Financial Markets
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Author : Nicholas B. Galunic
language : en
Publisher:
Release Date : 2012
Essays On Coordination And Financial Markets written by Nicholas B. Galunic and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012 with Equilibrium (Economics) categories.
This dissertation is concerned with microeconomic models of equilibrium pricing in financial markets of varying organizational scope. The first two chapters are based on game-theoretic models characterized by a coordination problem. I begin at the industry level in Chapter 2 where I solve the chicken-or-the-egg problem of platform pricing. I show that the elasticity of demand is greater for the more valued side and hence a monopolist will charge that side a lower price. These results have implications on how exchanges admit traders and apply to more general two-sided markets. My findings are supported by experimental tests. Chapter 3 examines regulatory efficacy in manipulating a currency market with a peg. I solve for equilibrium speculator conduct and central bank intervention policy where the speculator population is discrete. Sudden equilibrium price collapses are related explicitly to fundamentals. The main findings are again supported by experimental tests. In the final chapter, I study a market where strategic behavior is set aside and market participants are instead assumed to be perfect delta hedgers who immediately exploit arbitrage opportunities. I numerically estimate the equilibrium price of an exotic option in such a market.
Game Theory And Economic Behaviour
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Author : Reinhard Selten (Economist, Germany)
language : en
Publisher: Edward Elgar Publishing
Release Date : 1999-03-24
Game Theory And Economic Behaviour written by Reinhard Selten (Economist, Germany) and has been published by Edward Elgar Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 1999-03-24 with categories.
'These two volumes constitute an impressive collection of selected path-breaking works of Professor Selten. . . . Edward Elgar Publications deserve merit for bringing out most frequently-cited and prominent articles of Professor Selten in a conveniently available package.' - K. Ravikumar, Journal of Scientific and Industrial Research In 1994, the Nobel Prize was awarded to Reinhard Selten, John Nash and John Harsanyi, for pioneering analysis in game theory. Selten was the first to refine the Nash equilibrium concept of non-cooperative games for analysing dynamic strategic interaction and to apply these concepts to analyses of oligopoly.
Essays On Dynamic Game Theory And Policy Analysis
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Author : Robert F. Lyons
language : en
Publisher:
Release Date : 1999
Essays On Dynamic Game Theory And Policy Analysis written by Robert F. Lyons and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1999 with Economics, Mathematical categories.
Global Analysis Of Dynamic Models In Economics And Finance
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Author : Gian Italo Bischi
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-08-07
Global Analysis Of Dynamic Models In Economics And Finance written by Gian Italo Bischi and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-08-07 with Business & Economics categories.
The essays in this special volume survey some of the most recent advances in the global analysis of dynamic models for economics, finance and the social sciences. They deal in particular with a range of topics from mathematical methods as well as numerous applications including recent developments on asset pricing, heterogeneous beliefs, global bifurcations in complementarity games, international subsidy games and issues in economic geography. A number of stochastic dynamic models are also analysed. The book is a collection of essays in honour of the 60th birthday of Laura Gardini.
Two Essays In Financial Markets Theory
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Author : Christian Fauvelais
language : en
Publisher:
Release Date : 1987
Two Essays In Financial Markets Theory written by Christian Fauvelais and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1987 with Business - Dissertations, Academic - 1987 categories.
Essays On Two Player Games With Asymmetric Information
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Author : Lan Sun
language : en
Publisher:
Release Date : 2016
Essays On Two Player Games With Asymmetric Information written by Lan Sun and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with categories.