Overview
- Cutting-edge interdisciplinary research in the areas of applied statistics, mathematics, finance, and economics
- First comprehensive text on using Dynamic Markov Bridges to study asymmetric information among market participants
- Offers real-world applications of Markov processes to explain and evaluate market microstructure models
- Examines the case of risk-averse market makers and their implications on equilibrium pricing
Part of the book series: Probability Theory and Stochastic Modelling (PTSM, volume 90)
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Table of contents (8 chapters)
Keywords
About this book
A Markov bridge, first considered by Paul Lévy in the context of Brownian motion, is a mathematical system that undergoeschanges 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.
Authors and Affiliations
About the authors
Albina Danilova is Associate Professor of Mathematics at the London School of Economics (LSE). Her research interests span asymmetric information models, market microstructure, stochastic control, and equilibrium theory.
Bibliographic Information
Book Title: Dynamic Markov Bridges and Market Microstructure
Book Subtitle: Theory and Applications
Authors: Umut Çetin, Albina Danilova
Series Title: Probability Theory and Stochastic Modelling
DOI: https://doi.org/10.1007/978-1-4939-8835-8
Publisher: Springer New York, NY
eBook Packages: Mathematics and Statistics, Mathematics and Statistics (R0)
Copyright Information: Springer Science+Business Media, LLC, part of Springer Nature 2018
Hardcover ISBN: 978-1-4939-8833-4Published: 26 October 2018
Softcover ISBN: 978-1-4939-9399-4Published: 10 December 2019
eBook ISBN: 978-1-4939-8835-8Published: 25 October 2018
Series ISSN: 2199-3130
Series E-ISSN: 2199-3149
Edition Number: 1
Number of Pages: XIV, 234
Topics: Probability Theory and Stochastic Processes, Quantitative Finance, Statistics for Business, Management, Economics, Finance, Insurance