33 research outputs found
A model for a large investor trading at market indifference prices. I: single-period case
We develop a single-period model for a large economic agent who trades with
market makers at their utility indifference prices. A key role is played by a
pair of conjugate saddle functions associated with the description of Pareto
optimal allocations in terms of the utility function of a representative market
maker.Comment: Shorten from 69 to 30 pages due to referees' requests; a part of the
previous version has been moved to "The stochastic field of aggregate
utilities and its saddle conjugate", arXiv:1310.728
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The effect of asymmetries on stock index return value-at-risk estimates
It is widely accepted that equity return volatility increases more following negative shocks rather than positive shocks. However, much of value-at-risk (VaR) analysis relies on the assumption that returns are normally distributed (a symmetric distribution). This article considers the effect of asymmetries on the evaluation and accuracy of VaR by comparing estimates based on various models
A dynamic strategy of the informed trader with market manipulation
Information asymmetry, Price manipulation, Dynamic strategy, D82, G12,
The modified mixture of distributions model: a revisit
Mixture of Distributions, Volatility, Trading volume,