Two Essays In Financial Markets Theory
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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 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 Financial Markets Theory
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Author : Efthymia-Ioli Argyraki
language : en
Publisher:
Release Date : 2019
Essays On Financial Markets Theory written by Efthymia-Ioli Argyraki and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019 with categories.
Theory And Reality In Financial Economics
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Author : George M. Frankfurter
language : en
Publisher: World Scientific
Release Date : 2007
Theory And Reality In Financial Economics written by George M. Frankfurter and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with Business & Economics categories.
A collection of essays dealing with financial markets' imperfections, and the inability of neoclassical economics to deal with such imperfections. This book argues that financial economics, as based on the tenets of neoclassical economics, cannot answer or solve the real-life problems that people face.
Financial Markets Theory
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Author : Emilio Barucci
language : en
Publisher: Springer
Release Date : 2017-06-08
Financial Markets Theory written by Emilio Barucci and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-06-08 with Mathematics categories.
This work, now in a thoroughly revised second edition, presents the economic foundations of financial markets theory from a mathematically rigorous standpoint and offers a self-contained critical discussion based on empirical results. It is the only textbook on the subject to include more than two hundred exercises, with detailed solutions to selected exercises. Financial Markets Theory covers classical asset pricing theory in great detail, including utility theory, equilibrium theory, portfolio selection, mean-variance portfolio theory, CAPM, CCAPM, APT, and the Modigliani-Miller theorem. Starting from an analysis of the empirical evidence on the theory, the authors provide a discussion of the relevant literature, pointing out the main advances in classical asset pricing theory and the new approaches designed to address asset pricing puzzles and open problems (e.g., behavioral finance). Later chapters in the book contain more advanced material, including on the role of information in financial markets, non-classical preferences, noise traders and market microstructure. This textbook is aimed at graduate students in mathematical finance and financial economics, but also serves as a useful reference for practitioners working in insurance, banking, investment funds and financial consultancy. Introducing necessary tools from microeconomic theory, this book is highly accessible and completely self-contained. Advance praise for the second edition: "Financial Markets Theory is comprehensive, rigorous, and yet highly accessible. With their second edition, Barucci and Fontana have set an even higher standard!"Darrell Duffie, Dean Witter Distinguished Professor of Finance, Graduate School of Business, Stanford University "This comprehensive book is a great self-contained source for studying most major theoretical aspects of financial economics. What makes the book particularly useful is that it provides a lot of intuition, detailed discussions of empirical implications, a very thorough survey of the related literature, and many completely solved exercises. The second edition covers more ground and provides many more proofs, and it will be a handy addition to the library of every student or researcher in the field."Jaksa Cvitanic, Richard N. Merkin Professor of Mathematical Finance, Caltech "The second edition of Financial Markets Theory by Barucci and Fontana is a superb achievement that knits together all aspects of modern finance theory, including financial markets microstructure, in a consistent and self-contained framework. Many exercises, together with their detailed solutions, make this book indispensable for serious students in finance."Michel Crouhy, Head of Research and Development, NATIXIS
Financial Markets And Incomplete Information
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Author : Sudipto Bhattacharya
language : en
Publisher: Rowman & Littlefield Publishers
Release Date : 1989
Financial Markets And Incomplete Information written by Sudipto Bhattacharya and has been published by Rowman & Littlefield Publishers this book supported file pdf, txt, epub, kindle and other format this book has been release on 1989 with Business & Economics categories.
Major themes in theoretical financial economics since 1973 are presented through reprinted articles, each followed by a substantial essay by a leading scholar in the field. These original papers were written expressly for these volumes and provide a critical discussion and overview of the topic. The books thus present a broad spectrum of viewpoints with an emphasis on the work on valuation, economics of uncertainty, and taxation which pertains to the problems of financial markets and corporations.
Essays On The Theory Of Financial Markets And On The Theory Of Reputation
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Author : Wolfgang Pesendorfer
language : en
Publisher:
Release Date : 1992
Essays On The Theory Of Financial Markets And On The Theory Of Reputation written by Wolfgang Pesendorfer and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1992 with Capital market categories.
Two Essays On Financial Market Behavior
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Author : Dazhi Zheng
language : en
Publisher:
Release Date : 2010
Two Essays On Financial Market Behavior written by Dazhi Zheng and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with Finance categories.
Three Essays On The Theory Of Money And Financial Institutions Essay 2
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Author : Martin Shubik
language : en
Publisher:
Release Date : 2016
Three Essays On The Theory Of Money And Financial Institutions Essay 2 written by Martin Shubik 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.
This essay is the second of three. The first is nontechnical and in part autobiographical describing the evolution of my approach to developing a micro economic theory of money and financial institutions. This essay is devoted to a mathematical sketch of a closed economic exchange system with general equilibrium GE and rational expectations RE viewed game theoretically. It squeezes the last drop out of statics and an illusory dynamics in the form of the RE extension of GE with no other externalities beyond money and markets. The third essay builds on process models adding uncertainty, innovation, an active government, nonsymmetric information and other externaties that all lead away from a static equilibrium model to an evolving entity where competition involving finance and innovation is part of a dynamic non-equilibrium process.
Essays On Arbitrage Theory For A Class Of Informational Markets
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Author : Jun Deng
language : en
Publisher:
Release Date : 2014
Essays On Arbitrage Theory For A Class Of Informational Markets written by Jun Deng and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with Arbitrage categories.
This thesis develops three major essays on Arbitrage Theory, Market's Viability and Informational Markets. The first essay (Chapter 3) elaborates the exact connections among the No-Unbounded-Profit-with-Bounded-Risk (called NUPBR hereafter) condition, the existence of the numeraire portfolio, and market's weak/local viability. These tight relationships together with the financial crisis become our principal financial/economic leitmotif for the development of the next essay. In the second essay (Chapter 4 - Chapter 6), we focus on quantifying with extreme precision the effect of some additional information/uncertainty on the non-arbitrage concepts. As a result, we describe the interplay of this extra information and the market's parameters for these non-arbitrage concepts to be preserved. Herein, we focus on the classical no-arbitrage and the NUPBR condition. This study contains two main parts. In the first part of this essay (Chapter 4), we analyze practical examples of market models and extra information/uncertainty, for which we construct explicit "classical" arbitrage opportunities generated by the extra infor- mation/uncertainty. These examples are built in Brownian filtration and in Poisson filtration as well. The second part (Chapters 5 and 6) addresses the NUPBR condition in two different directions. On the one hand, we describe the pairs of market model and random time for which the resulting informational market model fulfills the NUPBR condition. On the other hand, we characterize the random time models that preserve the NUPBR condition. These results are elaborated for general market models with special attention to practical models such as discrete-time and Levy market models. The last essay (Chapter 7) investigates the effect of additional information on the Structure Conditions. These conditions are the alternatives to the non-arbitrage and viability assumption in the Markowitz settings.