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1、QuantitativeFinance,Vol.5,No.3,June2005,277–288AMarkovmodelforvaluingassetpricesinadynamicbargainingmarketMASAAKIKIJIMA*yandYOSHIHIKOUCHIDAzyGraduateSchoolofEconomics,KyotoUniversity,Yoshida-Honmachi,Sakyo-ku,Kyoto606-8501,JapanzGraduateSchoolofEconomics,OsakaUniver
2、sity,1-1YamadaokaSuita,Osaka565-0871,Japan(Received27December2004;infinalform11April2005)ThispaperproposesaMarkovchainmodelforstudyingtheimpactonassetpricesofilli-quidityassociatedwithsearchandbargaininginaneconomy.Theeconomyconsistsoffinitelymanyagentswhocantradeonly
3、whentheyfindeachother,andanytradebetweenagentschangesthepopulationoftheagenttypeswhichaffectstheassetpriceinthefuture.Assumingthattheequilibriumutilityaswellasthetradepriceisproportionaltotheassetdividend,weobtaintheassetpricesinsteadystate.Throughextensivenumericalex
4、periments,weobservethattheequilibriumpricesexhibitthecutoffphenomenon(i.e.crash)asthefractionofpessimisticagentsbecomeslarge.Modelswithamarketmakeraswellasirrationalagentsarealsoconsidered.Keywords:Markovchain;Limitingdistribution;Walrasianequilibrium;Marketmaker;Inv
5、entory;Irrationalagents1.Introductionofmarketparticipants.Also,ourmodelconvergestotheDGPmodelbythelawoflargenumbers.ThroughtheexperiencesoftheAsiancrisisin1997andtheMorespecifically,anagentwhowantstosellanassetRussiancrisis,followedbytheLTCMbankruptcyin1998,mustsearc
6、hforabuyerand,whentheymeeteachother,theimportanceofliquidityrisk(wedefineliquidityrisktheirbilateralrelationshipisstrategic.Atanytimeandastheriskthatonecannotliquidatehis/herpositionatastate,theseller’sstrategyiseithertosellortodonothingdesiredtimebythemarketpriceatt
7、hattime)hasbeen(thebuyer’sstrategyiseithertobuyortodonothing),widelyrecognizedbyfinancialmarkets.Recently,Duffie,andtheirdecisionsaremerelybasedonthepriceoftheGarleanuandPedersen(hereafterDGP)(2004)builtaasset.Thetrademechanismisdiscretebyitsverynature,dynamicasset-pri
8、cingmodelwithacontinuumofagentsonandweareinterestedinthejointdistributionofthefourtheinterval[0,1]tostudytheimpactonassetpricesofilli-type