Dynamic Markov bridges and market microstructure : theory and applications /

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Bibliographic Details
Author / Creator:Çetin, Umut, author.
Imprint:New York, NY, U.S.A. : Springer, [2018]
Description:1 online resource
Series:Probability theory and stochastic modelling, 2199-3130 ; volume 90
Probability theory and stochastic modelling ; v. 90.
Subject:Markov processes.
Stochastic differential equations.
MATHEMATICS -- Probability & Statistics -- General.
Finance & accounting.
Probability & statistics.
Markov processes.
Stochastic differential equations.
Electronic books.
Format: E-Resource Book
URL for this record:http://pi.lib.uchicago.edu/1001/cat/bib/11718583
Hidden Bibliographic Details
Other authors / contributors:Danilova, Albina, 1977- author.
Digital file characteristics:text file PDF
Notes:Includes bibliographical references and index.
Online resource; title from digital title page (viewed on December 17, 2018).
Summary:This book undertakes a detailed construction of Dynamic Markov Bridges using a combination of theory and real-world applications to drive home important concepts and methodologies. In Part I, theory is developed using tools from stochastic filtering, partial differential equations, Markov processes, and their interplay. Part II is devoted to the applications of the theory developed in Part I to asymmetric information models among financial agents, which include a strategic risk-neutral insider who possesses a private signal concerning the future value of the traded asset, non-strategic noise traders, and competitive risk-neutral market makers. A thorough analysis of optimality conditions for risk-neutral insiders is provided and the implications on equilibrium of non-Gaussian extensions are discussed. A Markov bridge, first considered by Paul Lévy in the context of Brownian motion, is a mathematical system that undergoes changes in value from one state to another when the initial and final states are fixed. Markov bridges have many applications as stochastic models of real-world processes, especially within the areas of Economics and Finance. The construction of a Dynamic Markov Bridge, a useful extension of Markov bridge theory, addresses several important questions concerning how financial markets function, among them: how the presence of an insider trader impacts market efficiency; how insider trading on financial markets can be detected; how information assimilates in market prices; and the optimal pricing policy of a particular market maker. Principles in this book will appeal to probabilists, statisticians, economists, researchers, and graduate students interested in Markov bridges and market microstructure theory.--
Other form:Print version: Çetin, Umut. Dynamic Markov bridges and market microstructure. New York, NY, U.S.A. : Springer, [2018] 1493988336 9781493988334
Standard no.:10.1007/978-1-4939-8835-8