Related papers: Path-dependent Kyle equilibrium model

Using the Donsker-Prokhorov invariance principle we extend the Kim-Stoyanov-Rachev-Fabozzi option pricing model to allow for variably-spaced trading instances, an important consideration for short-sellers of options. Applying the…

In the framework of Black-Scholes-Merton model of financial derivatives, a path integral approach to option pricing is presented. A general formula to price European path dependent options on multidimensional assets is obtained and…

In this paper we develop a general formalism of a path approach for non-equilibrium statistical mechanics. Firstly, we consider the classical Gibbs approach for states and find that this formalism is ineffective for non-equilibrium…

We develop from basic economic principles a continuous-time model for a large investor who trades with a finite number of market makers at their utility indifference prices. In this model, the market makers compete with their quotes for the…

This work presents an asset pricing model that under rational expectation equilibrium perspective shows how, depending on risk aversion and noise volatility, a risky-asset has one equilibrium price that differs in term of efficiency: an…

In this paper we show that the existence of a primarily discrete space-time may be a fruitful assumption from which we may develop a new approach of statistical thermodynamics in pre-relativistic conditions. The discreetness of space-time…

In this work we present an equilibrium formulation for price impacts. This is motivated by the Buhlmann equilibrium in which assets are sold into a system of market participants, e.g. a fire sale in systemic risk, and can be viewed as a…

In this chapter, an input-output economic model with multiple interactive economic systems is considered. The model captures the multi-dimensional nature of the economic sectors or industries in each economic system, the interdependencies…

Functional It^o calculus is based on an extension of the classical It^o calculus to functionals depending on the entire past evolution of the underlying paths and not only on its current value. The calculus builds on Follmer's…

In this research, we have empirically investigated the key drivers affecting liquidity in equity markets. We illustrated how theoretical models, such as Kyle's model, of agents' interplay in the financial markets, are aligned with the…

We propose a new all-pay auction format in which risk-loving bidders pay a constant fee each time they bid for an object whose monetary value is common knowledge among the bidders, and bidding fees are the only source of benefit for the…

In this paper, we study a time-inconsistent consumption-investment problem with random endowments in a possibly incomplete market under general discount functions. We provide a necessary condition and a verification theorem for an open-loop…

In this paper we introduce kinetic equations for the evolution of the probability distribution of two goods among a huge population of agents. The leading idea is to describe the trading of these goods by means of some fundamental rules in…

The paper tests the validity of the critique of the fiscal theory of the price level. A stochastic general equilibrium model with continuous time is constructed. An active fiscal policy and a passive monetary policy have been set. Monetary…

In [1] we presented a model for transactions when goods are given away in the expectation of a later settlement. In settings where people keep track of their social accounts we were able to redefine concepts like account balance, yield…

We provide closed-form pricing formulas for a wide variety of path-independent options, in the exponential L\'evy model driven by the Normal inverse Gaussian process. The results are obtained in both the symmetric and asymmetric model, and…

A discrete formulation of the real-time path integral as the expectation value of a functional of paths with respect to a complex probability on a sample space of discrete valued paths is explored. The formulation in terms of complex…

We consider a model for a queue in which only a fixed number $N$ of customers can join. Each customer joins the queue independently at an exponentially distributed time. Assuming further that the service times are independent and follow an…

We present a methodology for representing probabilistic relationships in a general-equilibrium economic model. Specifically, we define a precise mapping from a Bayesian network with binary nodes to a market price system where consumers and…

We study a continuous-time version of the intermediation model of Grossman and Miller (1988). To wit, we solve for the competitive equilibrium prices at which liquidity takers' demands are absorbed by dealers with quadratic inventory costs,…