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Essays on heterogeneous beliefs in financial markets
正題名/作者 ： Essays on heterogeneous beliefs in financial markets/ by Hao Sun.
作者 ： Sun, Hao.
出版者 ： Ann Arbor :ProQuest Dissertations & Theses,2018.
面頁冊數 ： 143 p.
附註 ： Source: Dissertation Abstracts International, Volume: 80-03(E), Section: A.
Contained By ： Dissertation Abstracts International80-03A(E).
標題 ： Finance. -
電子資源 ： 線上閱讀(PQDT論文)
ISBN ： 9780438551459
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245 10$aEssays on heterogeneous beliefs in financial markets$h[electronic resource] /$cby Hao Sun.
260 $aAnn Arbor :$bProQuest Dissertations & Theses,$c2018.
300 $a143 p.
500 $aSource: Dissertation Abstracts International, Volume: 80-03(E), Section: A.
500 $aAdviser: Michael J. Fishman.
502 $aThesis (Ph.D.)--Northwestern University, 2018.
520 $aIn this thesis, I investigate how the disagreements among market participants can affect markets in various settings. In the first chapter, I study how market participants with heterogeneous beliefs and non-commitment can create and manage counterparty risk in a sequentially and bilaterally traded market. I find that the equilibrium price may not always reflect counterparty risk due to risk-management efforts by market participants. Even when there is no default in equilibrium, market participants cannot attain the best allocations since risk-management is costly. In the second chapter, I study disagreements among market participants under more general belief structures. Here, I employ the collateral equilibrium framework to study the how the disagreements can affect equilibrium pricing of assets and derivatives. I provide sufficient conditions for bubble to exist in equilibrium prices. Moreover, I find that certain types of disagreements can also generate volatility smirks in options. In chapter three, I study asynchronized trading among market participants in presence of a growing asset bubble. Market participants disagree on the starting date of an exogenous asset bubble and decide when to exit the market. I also introduce a large market participant alongside numerous infinitesimal market participants to study their interactions and the mechanism of the bursting an asset bubble. I find results in contrast to those in the currency attack literature. The market participants in this setting stand to benefit from a growing asset bubble whereas the market participants in the currency attack literature only benefit if an attack is successful.
590 $aSchool code: 0163.
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690 $a0508
710 2 $aNorthwestern University.$bFinance.$3526194
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Sun, Hao.
Essays on heterogeneous beliefs in financial markets[electronic resource] /by Hao Sun. - Ann Arbor :ProQuest Dissertations & Theses,2018. - 143 p.
Source: Dissertation Abstracts International, Volume: 80-03(E), Section: A.
Thesis (Ph.D.)--Northwestern University, 2018.
In this thesis, I investigate how the disagreements among market participants can affect markets in various settings. In the first chapter, I study how market participants with heterogeneous beliefs and non-commitment can create and manage counterparty risk in a sequentially and bilaterally traded market. I find that the equilibrium price may not always reflect counterparty risk due to risk-management efforts by market participants. Even when there is no default in equilibrium, market participants cannot attain the best allocations since risk-management is costly. In the second chapter, I study disagreements among market participants under more general belief structures. Here, I employ the collateral equilibrium framework to study the how the disagreements can affect equilibrium pricing of assets and derivatives. I provide sufficient conditions for bubble to exist in equilibrium prices. Moreover, I find that certain types of disagreements can also generate volatility smirks in options. In chapter three, I study asynchronized trading among market participants in presence of a growing asset bubble. Market participants disagree on the starting date of an exogenous asset bubble and decide when to exit the market. I also introduce a large market participant alongside numerous infinitesimal market participants to study their interactions and the mechanism of the bursting an asset bubble. I find results in contrast to those in the currency attack literature. The market participants in this setting stand to benefit from a growing asset bubble whereas the market participants in the currency attack literature only benefit if an attack is successful.
ISBN: 9780438551459Subjects--Topical Terms:
141792
Finance.
Essays on heterogeneous beliefs in financial markets[electronic resource] /by Hao Sun. - Ann Arbor :ProQuest Dissertations & Theses,2018. - 143 p.
Source: Dissertation Abstracts International, Volume: 80-03(E), Section: A.
Thesis (Ph.D.)--Northwestern University, 2018.
In this thesis, I investigate how the disagreements among market participants can affect markets in various settings. In the first chapter, I study how market participants with heterogeneous beliefs and non-commitment can create and manage counterparty risk in a sequentially and bilaterally traded market. I find that the equilibrium price may not always reflect counterparty risk due to risk-management efforts by market participants. Even when there is no default in equilibrium, market participants cannot attain the best allocations since risk-management is costly. In the second chapter, I study disagreements among market participants under more general belief structures. Here, I employ the collateral equilibrium framework to study the how the disagreements can affect equilibrium pricing of assets and derivatives. I provide sufficient conditions for bubble to exist in equilibrium prices. Moreover, I find that certain types of disagreements can also generate volatility smirks in options. In chapter three, I study asynchronized trading among market participants in presence of a growing asset bubble. Market participants disagree on the starting date of an exogenous asset bubble and decide when to exit the market. I also introduce a large market participant alongside numerous infinitesimal market participants to study their interactions and the mechanism of the bursting an asset bubble. I find results in contrast to those in the currency attack literature. The market participants in this setting stand to benefit from a growing asset bubble whereas the market participants in the currency attack literature only benefit if an attack is successful.
ISBN: 9780438551459Subjects--Topical Terms:
141792
Finance.
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