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Titlebook: Dynamic Markov Bridges and Market Microstructure; Theory and Applicati Umut ?etin,Albina Danilova Book 2018 Springer Science+Business Media

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發(fā)表于 2025-3-21 19:20:55 | 只看該作者 |倒序?yàn)g覽 |閱讀模式
書(shū)目名稱Dynamic Markov Bridges and Market Microstructure
副標(biāo)題Theory and Applicati
編輯Umut ?etin,Albina Danilova
視頻videohttp://file.papertrans.cn/284/283639/283639.mp4
概述Cutting-edge interdisciplinary research in the areas of applied statistics, mathematics, finance, and economics.First comprehensive text on using Dynamic Markov Bridges to study asymmetric information
叢書(shū)名稱Probability Theory and Stochastic Modelling
圖書(shū)封面Titlebook: Dynamic Markov Bridges and Market Microstructure; Theory and Applicati Umut ?etin,Albina Danilova Book 2018 Springer Science+Business Media
描述This book undertakes a detailed construction of Dynamic Markov Bridges using a combination of theory and real-world applications to drive home important concepts and methodologies. In Part I, theory is developed using tools from stochastic filtering, partial differential equations, Markov processes, and their interplay. Part II is devoted to the applications of the theory developed in Part I to asymmetric information models among financial agents, which include a strategic risk-neutral insider who?possesses a private signal concerning the future value of the traded asset,?non-strategic noise traders, and competitive risk-neutral market makers. A thorough analysis of optimality conditions for risk-neutral insiders ?is?provided and the implications on equilibrium of non-Gaussian extensions are discussed..A Markov bridge, first considered by Paul Lévy in the context of Brownian motion,?is a mathematical system that undergoeschanges in value from one state to another when the initial and final states are fixed. Markov bridges have many applications as?stochastic models of real-world processes, especially within the areas of Economics and Finance. The construction of a Dynamic Markov Br
出版日期Book 2018
關(guān)鍵詞Asymmetric Information; Dynamic Markov Bridges; Markov Processes; Stochastic Filtering; Stochastic Proce
版次1
doihttps://doi.org/10.1007/978-1-4939-8835-8
isbn_softcover978-1-4939-9399-4
isbn_ebook978-1-4939-8835-8Series ISSN 2199-3130 Series E-ISSN 2199-3149
issn_series 2199-3130
copyrightSpringer Science+Business Media, LLC, part of Springer Nature 2018
The information of publication is updating

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Stochastic Filteringwill bound them to infer the information of other players from their actions. To avoid the pathological cases this information ought to be contaminated, e.g. by noise trades. This corresponds to a stochastic filtering problem which we will formalise in this chapter.
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Dynamic Markov Bridges and Market Microstructure978-1-4939-8835-8Series ISSN 2199-3130 Series E-ISSN 2199-3149
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Jaya R. Soneji,Madhugiri Nageswara Raodvance but revealed via an observation of a related process. We will call such a process dynamic Markov bridge. We provide conditions under which such a process exists as a unique solution of an SDE. This construction will be fundamental in solving the Kyle–Back models considered in the second part of the book.
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Jaya R. Soneji,Madhugiri Nageswara RaoThis chapter introduces the setup for the equilibrium models that extends, among others, the works of Kyle and Back. It also contains some key results that will be relevant for the characterisation of the equilibrium. Finally the equilibrium will be derived and discussed in Chaps. . and ..
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