通过随机匹配建立基于流动性的资产价格泡沫模型

IF 1.4 4区经济学 Q3 BUSINESS, FINANCE

SIAM Journal on Financial Mathematics Pub Date : 2023-12-15 DOI:10.1137/22m1531580

Francesca Biagini, Andrea Mazzon, Thilo Meyer-Brandis, Katharina Oberpriller

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引用次数: 0

摘要

SIAM 金融数学期刊》，第 14 卷第 4 期，第 1304-1342 页，2023 年 12 月。摘要本文研究了基于流动性模型的离散时间版本 [R. A. Jarrow, P. Protter, and A. F. Ro.A. Jarrow, P. Protter, and A. F. Roch, Quant.金融》，12 (2012)，第 1339-1349 页]。在此范围内，我们将[D. Duffie, L. Qiao, and Y. Sun, J. Econ. Theory, 174 (2018), pp.我们推导了保证金融市场模型无套利的条件，并给出了一些数值模拟来说明我们的方法。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Liquidity Based Modeling of Asset Price Bubbles via Random Matching

SIAM Journal on Financial Mathematics, Volume 14, Issue 4, Page 1304-1342, December 2023.
Abstract. In this paper we study the evolution of asset price bubbles driven by contagion effects spreading among investors via a random matching mechanism in a discrete-time version of the liquidity based model of [R. A. Jarrow, P. Protter, and A. F. Roch, Quant. Finance, 12 (2012), pp. 1339–1349]. To this scope, we extend the Markov conditionally independent dynamic directed random matching of [D. Duffie, L. Qiao, and Y. Sun, J. Econ. Theory, 174 (2018), pp. 124–183] to a stochastic setting to include stochastic exogenous factors in the model. We derive conditions guaranteeing that the financial market model is arbitrage-free and present some numerical simulation illustrating our approach.

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来源期刊

SIAM Journal on Financial Mathematics MATHEMATICS, INTERDISCIPLINARY APPLICATIONS-

CiteScore

2.30

自引率

10.00%

发文量

期刊介绍： SIAM Journal on Financial Mathematics (SIFIN) addresses theoretical developments in financial mathematics as well as breakthroughs in the computational challenges they encompass. The journal provides a common platform for scholars interested in the mathematical theory of finance as well as practitioners interested in rigorous treatments of the scientific computational issues related to implementation. On the theoretical side, the journal publishes articles with demonstrable mathematical developments motivated by models of modern finance. On the computational side, it publishes articles introducing new methods and algorithms representing significant (as opposed to incremental) improvements on the existing state of affairs of modern numerical implementations of applied financial mathematics.