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Learning and Information Dissemination in Limit Order Markets
Wei, Lijian; Zhang, Wei; He, Xue-Zhong; Zhang, Yongjie - Finance Discipline Group, Business School - 2013
What can traders learn and how does learning affect the market? When information is asymmetric, short-lived, and … uninformed traders learn, we present an artificial limit order market model to examine the effect of learning, information value …, and order aggressiveness on information dissemination efficiency, bid-ask spread, order submission, and order profit of …
Persistent link: https://www.econbiz.de/10010754098
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Position-Limit Design for the CSI 300 Futures Markets
Wei, Lijian; Zhang, Wei; Xiong, Xiong; Shi, Lei - Finance Discipline Group, Business School - 2014
, efficiency of information dissemination and trading welfare. The simulation model is based on realistic trading mechanism …
Persistent link: https://www.econbiz.de/10010883506
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On Weak Predictor-Corrector Schemes for Jump-Diffusion Processes in Finance
Bruti-Liberati, Nicola; Platen, Eckhard - Finance Discipline Group, Business School - 2006
Event-driven uncertainties such as corporate defaults, operational failures or central bank announcements are important elements in the modelling of financial quantities. Therefore, stochastic differential equations (SDEs) of jump-diffusion type are often used in finance. We consider in this...
Persistent link: https://www.econbiz.de/10004984550
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Learning and Evolution of Trading Strategies in Limit Order Markets
Chiarella, Carl; He, Xue-Zhong; Wei, Lijian - Finance Discipline Group, Business School - 2013
How do traders process and learn from market information, what trading strategies should they use, and how does … learning affect the market? This paper proposes a learning model of an articial limit order market with asymmetric information …
Persistent link: https://www.econbiz.de/10010883499
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Option Valuation in Multivariate SABR Models
Kienitz, Jörg; Wittke, Manuel - Finance Discipline Group, Business School - 2010
We consider the joint dynamic of a basket of n-assets where each asset itself follows a SABR stochastic volatility model. Using the Markovian Projection methodology we approximate a univariate displaced diffusion SABR dynamic for the basket to price caps and floors in closed form. This enables...
Persistent link: https://www.econbiz.de/10008506968
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Modelling the Evolution of Credit Spreads Using the Cox Process Within the HJM Framework A CDS Option Pricing Model
Chiarella, Carl; Fanelli, Viviana; Musti, Silvana - Finance Discipline Group, Business School - 2009
In this paper a simulation approach for defaultable yield curves is developed within the Heath et al. (1992) framework. The default event is modelled using the Cox process where the stochastic intensity represents the credit spread. The forward credit spread volatility function is affected by...
Persistent link: https://www.econbiz.de/10008492106
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Modelling the Evolution of Credit Spreads using the Cox Process within the HUM Framework: A CDS Option Pricing Model
Chiarella, Carl; Fanelli, Viviana; Musti, Silvana - Finance Discipline Group, Business School - 2008
In this paper a simulation approach for defaultable yield curves is developed within the Heath et al. (1992) framework. The default event is modelled using the Cox process where the stochastic intensity represents the credit spread. The forward credit spread volatility function is affected by...
Persistent link: https://www.econbiz.de/10004984452
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Consistent Modeling of VIX and Equity Derivatives Using a 3/2 plus Jumps Model
Baldeaux, Jan; Badran, Alexander - Finance Discipline Group, Business School - 2012
In this paper quasi-closed-form solutions are derived for the price of equity and VIX derivatives under the assumption that the underlying follows a 3/2 process with jumps in the index. The newly-found formulae allow for an empirical analysis to be performed. In the case of the pure-diffusion...
Persistent link: https://www.econbiz.de/10010616506
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A Consistent Framework for Modelling Basis Spreads in Tenor Swaps
Chang, Yang; Schlogl, Erik - Finance Discipline Group, Business School - 2014
The phenomenon of the frequency basis (i.e. a spread applied to one leg of a swap to exchange one oating interest rate for another of a different tenor in the same currency) contradicts textbook no-arbitrage conditions and has become an important feature of interest rate markets since the...
Persistent link: https://www.econbiz.de/10011163379
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Does More Frequent Trading Increase the Volatility? – Theoretical Evidence at Asset and Portfolio Level
Hong, KiHoon Jimmy - Finance Discipline Group, Business School - 2013
This paper investigates the sensitivity of asset and portfolio price volatility with respect to the minimum available trading interval that the price is quoted. The objective of the study is to find the theoretical impact of high frequency trading on asset and portfolio volatilities, using a...
Persistent link: https://www.econbiz.de/10010883507