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Dynamic Markov Bridges and Market Microstructure - Theory and Applications (Hardcover, 1st ed. 2018)
Loot Price: R3,628
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Dynamic Markov Bridges and Market Microstructure - Theory and Applications (Hardcover, 1st ed. 2018)
Series: Probability Theory and Stochastic Modelling, 90
Expected to ship within 10 - 15 working days
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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.
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