Type
Text
Type
Dissertation
Advisor
Rachev, Svetlozar | Kim, Arron | Stoyanov, Stoyan | Djuric, Petar.
Date
2016-12-01
Keywords
Applied mathematics
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/11401/77099
Publisher
The Graduate School, Stony Brook University: Stony Brook, NY.
Format
application/pdf
Abstract
In these days, high frequency hedge funds have developed as a new and successful category of hedge funds. Accordingly, risk management is now obliged to keep pace with this market and takes intraday-risk management into consideration. To aim to contribute on answering questions on intraday risk management, the dissertation consists of three parts. In first part, an intraday risk assessment model incorporating long-range dependence and heavy-tailness is suggested. Fractional integrated time series model with nearly elliptical distributed innovations are used to compute more accurate intraday level value at risk. Second part investigates the market efficiency by analyzing the relation between market sentiment and price movement. A theoretical consumption-based equilibrium model and empirical analysis are employed to show various behavior under different market sentiment and cross-sectional stocks. The third parts further analyzes the long-range dependence behaviors in equity markets cross-sectionally on different sampling frequencies and various market conditions. | 109 pages
Recommended Citation
Dong, Fangfei, "Risk Assessment in Intraday Trading" (2016). Stony Brook Theses and Dissertations Collection, 2006-2020 (closed to submissions). 2936.
https://commons.library.stonybrook.edu/stony-brook-theses-and-dissertations-collection/2936