| dc.identifier.uri | http://hdl.handle.net/11401/76582 | |
| dc.description.sponsorship | This work is sponsored by the Stony Brook University Graduate School in compliance with the requirements for completion of degree. | en_US |
| dc.format | Monograph | |
| dc.format.medium | Electronic Resource | en_US |
| dc.language.iso | en_US | |
| dc.publisher | The Graduate School, Stony Brook University: Stony Brook, NY. | |
| dc.type | Dissertation | |
| dcterms.abstract | The dissertation consists of three parts. In first part, a general equilibrium for asset pricing is proposed which incorporates asymmetric information as the key element determining security prices. The concepts of completeness, arbitrage, state price deflator and equivalent martingale measure are extended. It is shown in the model that in a so-called quasi-complete market, agents with differential information can reach an agreement on a universal equilibrium price. And as a consequence, information asymmetry can lead to mispricing as well. Second part investigates the market intrinsic time, such as volume clock and transaction clock. The normality of asset returns are shown to be recovered when time is measured by volume or transactions. A multivariate subordinated Brownian motion model is used to estimate dependency structure with market intrinsic time as subordinator. Third part considers a multivariate mean-reverting Levy model on asset price and volatility together. The model assumes common jump factor among prices and volatilities. Empirical analysis on estimation and option pricing are conducted. | |
| dcterms.available | 2017-09-20T16:50:42Z | |
| dcterms.contributor | Rachev, Svetlozar | en_US |
| dcterms.contributor | Glimm, James | en_US |
| dcterms.contributor | Douady, Raphael | en_US |
| dcterms.contributor | Smith, Noah | en_US |
| dcterms.contributor | Xiao, Keli. | en_US |
| dcterms.creator | Zhang, Yuzhong | |
| dcterms.dateAccepted | 2017-09-20T16:50:42Z | |
| dcterms.dateSubmitted | 2017-09-20T16:50:42Z | |
| dcterms.description | Department of Applied Mathematics and Statistics. | en_US |
| dcterms.extent | 116 pg. | en_US |
| dcterms.format | Monograph | |
| dcterms.format | Application/PDF | en_US |
| dcterms.identifier | http://hdl.handle.net/11401/76582 | |
| dcterms.issued | 2015-12-01 | |
| dcterms.language | en_US | |
| dcterms.provenance | Made available in DSpace on 2017-09-20T16:50:42Z (GMT). No. of bitstreams: 1
Zhang_grad.sunysb_0771E_12665.pdf: 4612302 bytes, checksum: e764cbba3fd4fd9766faa53802992135 (MD5)
Previous issue date: 1 | en |
| dcterms.publisher | The Graduate School, Stony Brook University: Stony Brook, NY. | |
| dcterms.subject | Asset Pricing, Multivariate Levy Process, Subordinator | |
| dcterms.subject | Mathematics | |
| dcterms.title | Asset Pricing in Intraday Trading | |
| dcterms.type | Dissertation | |
