You are here
PRICE DISCOVERY IN THE U.S. BOND MARKETS: TRADING STRATEGIES AND THE COST OF LIQUIDITY
| Title: | PRICE DISCOVERY IN THE U.S. BOND MARKETS: TRADING STRATEGIES AND THE COST OF LIQUIDITY. |
 39 views 15 downloads |
|---|---|---|
| Name(s): |
Shao, Haimei, Author Yong, Jiongmin, Committee Chair University of Central Florida, Degree Grantor |
|
| Type of Resource: | text | |
| Date Issued: | 2011 | |
| Publisher: | University of Central Florida | |
| Language(s): | English | |
| Abstract/Description: | The world bond market is nearly twice as large as the equity market. The goal of this dissertation is to study the dynamics of bond price. Among the liquidity risk, interest rate risk and default risk, this dissertation will focus on the liquidity risk and trading strategy. Under the mathematical frame of stochastic control, we model price setting in U.S. bond markets where dealers have multiple instruments to smooth inventory imbalances. The difficulty in obtaining the optimal trading strategy is that the optimal strategy and value function depend on each other, and the corresponding HJB equation is nonlinear. To solve this problem, we derived an approximate optimal explicit trading strategy. The result shows that this trading strategy is better than the benchmark central symmetric trading strategy. | |
| Identifier: | CFE0003633 (IID), ucf:48858 (fedora) | |
| Note(s): |
2011-05-01 Ph.D. Sciences, Department of Mathematics Masters This record was generated from author submitted information. |
|
| Subject(s): |
Stochastic Control HJB equation Compound Possion Process Over-the-counter Market Bond Trading Strategy The Cost of Liquidity |
|
| Persistent Link to This Record: | http://purl.flvc.org/ucf/fd/CFE0003633 | |
| Restrictions on Access: | public | |
| Host Institution: | UCF |
