Sitnikovs, Dmitrijs (2017). Instabilities in quasi-efficient markets. PHD thesis, Aston University.
Abstract
This thesis studies ways of modelling instabilities in quasi-efficient markets. We consider quasi-efficient markets where arbitrage is possible, but is relatively small and short lived. Under such a assumption we derive optimal arbitrage strategy of one agent and consider possible ways of funding optimal strategy under stop-loss constraint. Optimal strategy is used to build a multi-agent model which defines the arbitrage dynamics, i.e. its mean- reverting behaviour. The influence of agents on the asset prices is modelled by means of permanent price impact function. Multi-agent model is self-consistent as it creates mean-reverting term of the same type under which the optimal strategy for one agent was derived. As we show adding stop-loss constraint creates possibility for market instabilities
Divisions: | Aston University (General) |
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Institution: | Aston University |
Uncontrolled Keywords: | limits of arbitrage,stop-loss,market instabilities,margin call,superportfolio,market impact |
Last Modified: | 28 Jun 2024 08:15 |
Date Deposited: | 08 Nov 2018 14:52 |
Completed Date: | 2017 |
Authors: |
Sitnikovs, Dmitrijs
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