Price is the most visible signal produced by competition and interaction among a complex ecology of entities in a system called financial markets. This thesis deals with statistical analysis and model identification based on such signals. We approach this problem at various levels of...

This thesis investigates the implications of explicitly modeling the monetary policy of the Central Bank within a Dynamic Term Structure Model (DTSM). We follow Piazzesi (2005) and implement monetary policy by including the Fed target rate as a state variable. The discontinuous target dynamics...

The risk arbitrage investment process involves betting on the outcome of announced mergers and acquisitions. We analyzed a sample of 1309 stock and cash mergers from 1996 to 2004 Q2 and developed insights into the risk arbitrage process. We found share price reactions for both the acquirer and...