Type
Text
Type
Dissertation
Advisor
Rachev, Svetlozar | Glimm, James | Douady, Raphael | Smith, Noah | Xiao, Keli.
Date
2015-12-01
Keywords
Mathematics | Asset Pricing, Multivariate Levy Process, Subordinator
Department
Department of Applied Mathematics and Statistics.
Language
en_US
Source
This work is sponsored by the Stony Brook University Graduate School in compliance with the requirements for completion of degree.
Identifier
http://hdl.handle.net/11401/76582
Publisher
The Graduate School, Stony Brook University: Stony Brook, NY.
Format
application/pdf
Abstract
The dissertation consists of three parts. In first part, a general equilibrium for asset pricing is proposed which incorporates asymmetric information as the key element determining security prices. The concepts of completeness, arbitrage, state price deflator and equivalent martingale measure are extended. It is shown in the model that in a so-called quasi-complete market, agents with differential information can reach an agreement on a universal equilibrium price. And as a consequence, information asymmetry can lead to mispricing as well. Second part investigates the market intrinsic time, such as volume clock and transaction clock. The normality of asset returns are shown to be recovered when time is measured by volume or transactions. A multivariate subordinated Brownian motion model is used to estimate dependency structure with market intrinsic time as subordinator. Third part considers a multivariate mean-reverting Levy model on asset price and volatility together. The model assumes common jump factor among prices and volatilities. Empirical analysis on estimation and option pricing are conducted. | 116 pages
Recommended Citation
Zhang, Yuzhong, "Asset Pricing in Intraday Trading" (2015). Stony Brook Theses and Dissertations Collection, 2006-2020 (closed to submissions). 2476.
https://commons.library.stonybrook.edu/stony-brook-theses-and-dissertations-collection/2476