The Contribution Of Trader Interaction To Market Noise
| dc.contributor.author | Liu, Xiaofei | en_US |
| dc.contributor.chair | Protter, Philip E. | en_US |
| dc.contributor.committeeMember | Jarrow, Robert A. | en_US |
| dc.contributor.committeeMember | Turnbull, Bruce William | en_US |
| dc.date.accessioned | 2013-07-23T18:24:11Z | |
| dc.date.available | 2016-09-27T05:39:50Z | |
| dc.date.issued | 2011-05-29 | en_US |
| dc.description.abstract | Inspired by the Cucker-Smale flocking idea, we introduce a heterogeneous agent-based price model that captures explicitly the impact of trader interaction on asset price dynamics, in order to provide insights to a wide range of puzzling stylized facts observed in financial asset returns. Discrete-time models for communication among individual market participants are investigated in Chapter 3, while the role of an influential central authority, such as an equity analyst's report, is studied under a continuous-time setting in Chapter 4. In both cases, we provide limit theorems for normalized sums of dependent stochastic processes that allow us to study analytically the aggregated effect of micro-level communications among a large number of market participants. In addition, we demonstrate via numerical examples that our price model is capable of reproducing asset returns with statistical properties, such as heavy tails, aggregational Gaussianity and volatility clustering, that are in harmony with empirical observations. | en_US |
| dc.identifier.other | bibid: 8213958 | |
| dc.identifier.uri | https://hdl.handle.net/1813/33648 | |
| dc.language.iso | en_US | en_US |
| dc.subject | Stylized facts of asset returns | en_US |
| dc.subject | Central Limit Theorem | en_US |
| dc.subject | Agent Interaction | en_US |
| dc.subject | Agent-based asset price model | en_US |
| dc.title | The Contribution Of Trader Interaction To Market Noise | en_US |
| dc.type | dissertation or thesis | en_US |
| thesis.degree.discipline | Operations Research | |
| thesis.degree.grantor | Cornell University | en_US |
| thesis.degree.level | Doctor of Philosophy | |
| thesis.degree.name | Ph. D., Operations Research |
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