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A PRICE-VOLUME MODEL FOR A SINGLE-PERIOD STOCK MARKET

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Date Issued:
2014
Abstract/Description:
The intention of this thesis is to provide a primitive mathematical model for a financial market in which tradings affect the asset prices. Currently, the idea of a price-volume relationship is typically used in the form of empirical models for specific cases. Among the theoretical models that have been used in stock markets, few included the volume parameter. The thesis provides a general theoretical model with the volume parameter for the intention of a broader use. The core of the model is the correlation between trading volume and stock price, indicating that volume should be a function of the stock price and time. This function between price and time was made visible by the use of the trading volume process, also known as the Limit Order book. The development of this model may be of some use to investors, who could build their wealth process based on the dynamics of the process found through a Limit Order Book. This wealth process can help them build an optimal trading strategy design.
Title: A PRICE-VOLUME MODEL FOR A SINGLE-PERIOD STOCK MARKET.
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Name(s): Chen-Shue, Yun, Author
Yong, Jiongmin, Committee Chair
University of Central Florida, Degree Grantor
Type of Resource: text
Date Issued: 2014
Publisher: University of Central Florida
Language(s): English
Abstract/Description: The intention of this thesis is to provide a primitive mathematical model for a financial market in which tradings affect the asset prices. Currently, the idea of a price-volume relationship is typically used in the form of empirical models for specific cases. Among the theoretical models that have been used in stock markets, few included the volume parameter. The thesis provides a general theoretical model with the volume parameter for the intention of a broader use. The core of the model is the correlation between trading volume and stock price, indicating that volume should be a function of the stock price and time. This function between price and time was made visible by the use of the trading volume process, also known as the Limit Order book. The development of this model may be of some use to investors, who could build their wealth process based on the dynamics of the process found through a Limit Order Book. This wealth process can help them build an optimal trading strategy design.
Identifier: CFH0004689 (IID), ucf:45245 (fedora)
Note(s): 2014-12-01
B.S.
Sciences, Dept. of Mathematics
Bachelors
This record was generated from author submitted information.
Subject(s): Limit Order Book
Single-Period
Stock Market
Prive
Volume
trading
Persistent Link to This Record: http://purl.flvc.org/ucf/fd/CFH0004689
Restrictions on Access: public
Host Institution: UCF

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