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Does smooth ambiguity matter for asset pricing?
Gallant, A. Ronald; Jahan-Parvar, Mohammad R.; Liu, Hening - 2018
models featuring smooth ambiguity preferences. We rely on semi-nonparametric estimation of a flexible auxiliary model in our … pricing models with smooth ambiguity. Statistical model comparison shows that models with ambiguity, learning and time …
Persistent link: https://www.econbiz.de/10011780610
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On free lunches in random walk markets with short-sale constraints and small transaction costs, and weak convergence to Gaussian continuous-time processes
Framstad, Nils Chr. - 2011
This paper considers a sequence of discrete-time random walk markets with a single risky asset, and gives conditions for the existence of arbitrage opportunities or free lunches with vanishing risk, of the form of waiting to buy and selling the next period, with no shorting, and furthermore for...
Persistent link: https://www.econbiz.de/10010330249
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On free lunches in random walk markets with short-sale constraints and small transaction costs, and weak convergence to Gaussian continuous-time processes
Framstad, Nils Chr. - 2011 - Publisert 28. jun. 2011 09:08
This paper considers a sequence of discrete-time random walk markets with a single risky asset, and gives conditions for the existence of arbitrage opportunities or free lunches with vanishing risk, of the form of waiting to buy and selling the next period, with no shorting, and furthermore for...
Persistent link: https://www.econbiz.de/10009155859
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Uncertain growth, ambiguity aversion and asset prices
Liu, Hening - 2011
ambiguity aversion in the spirit of Klibanoff et al. (2005). I calibrate the model to the post-war US data. The main findings … unconditional mean of equity premium. -- Countercylical ; Equity premium ; Markov switching ; Smooth ambiguity ; Stochastic growth …
Persistent link: https://www.econbiz.de/10009411461
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Does Smooth Ambiguity Matter for Asset Pricing?
Gallant, A. Ronald - 2018
models featuring smooth ambiguity preferences. We rely on semi-nonparametric estimation of a flexible auxiliary model in our … pricing models with smooth ambiguity. Statistical model comparison shows that models with ambiguity, learning and time …
Persistent link: https://www.econbiz.de/10012931543
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Financial markets with volatility uncertainty
Vorbrink, Jörg - 2010
We investigate financial markets under model risk caused by uncertain volatilities. For this purpose we consider a financial market that features volatility uncertainty. To have a mathematical consistent framework we use the notion of G-expectation and its corresponding G-Brownian motion...
Persistent link: https://www.econbiz.de/10010285421
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Market Making with Alpha Signals
Cartea, Álvaro - 2019
We show how a market maker employs information about the momentum in the price of the asset (i.e., alpha signal) to make decisions in her liquidity provision strategy in an order driven electronic market. The momentum in the midprice of the asset depends on the execution of liquidity taking...
Persistent link: https://www.econbiz.de/10012864440
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Ambiguity Aversion in Algorithmic and High Frequency Trading
Donnelly, Ryan Francis - 2014
behavioural perspective, model uncertainty naturally leads to the notion of ambiguity aversion - a person's tendency to avoid … scenarios are investigated. In this case, different types of ambiguity aversion are shown to have different effects on optimal … predictive elements. This work concludes with another investigation of the effects of ambiguity aversion in the context of this …
Persistent link: https://www.econbiz.de/10013043893
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Financial markets with volatility uncertainty
Vorbrink, Jörg - 2010
We investigate financial markets under model risk caused by uncertain volatilities. For this purpose we consider a financial market that features volatility uncertainty. To have a mathematical consistent framework we use the notion of G-expectation and its corresponding G-Brownian motion...
Persistent link: https://www.econbiz.de/10008746123
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Optimal liquidation in dark pools
Kratz, Peter; Schöneborn, Torsten - 2011
We consider a large trader seeking to liquidate a portfolio using both a transparent trading venue and a dark pool. Our model captures the price impact of trading in transparent traditional venues as well as the execution uncertainty of trading in a dark pool. The unique optimal execution...
Persistent link: https://www.econbiz.de/10010281565