资源描述：
《Endogenous Bubbles in Derivatives Markets》由会员上传分享，免费在线阅读，更多相关内容在学术论文-天天文库。
1、EndogenousBubblesinDerivativesMarkets:TheRiskNeutralValuationParadoxAlessandroFioriMaccioni⋆CRENoS-CentreforNorth-SouthEconomicResearchandDipartimentodiEconomia,ImpresaeRegolamentazione,Universit`adiSassari,ViaTorreTondan.34-07100Sassari,Italyalex.fiori.maccioni@uni
2、ss.itAbstract.Thispaperhighlightstheroleofriskneutralinvestorsingeneratingendogenousbubblesinderivativesmarkets.Weproposethefollowingtheorem.Amarketforderivatives,whichhasallthefeaturesofaperfectmarketexceptcompletenessandhassomeriskneutralinvestors,mayexhibitalmost
3、surelyextremepricemovementswhichrepresentaviolationtotheGaussianrandomwalkhypothesis.Thiscanbeviewedasaparadoxbecauseitcontradictswide-heldconjecturesaboutpricesininformationallyefficientmarketswithrationalinvestors.Thetheoremimpliesthatpricesarenotalwaysgoodapproxima
4、tionsofthefundamentalvaluesofderivatives,andthatextremepricemovementslikepricepeaksorcrashesmayhaveendogenousoriginandhappenwithahigher-than-normalfrequency.Keywords.Riskneutral,martingale,derivatives,efficientmarket,bubble.M.S.C.2010classification.60G,60H,91B,91G.J.E.
5、L.classification.Primary:C73,G12,G13.Secondary:C78,G01.1IntroductionThepresentstudyaddressestheroleofriskneutralinvestorsingeneratingturmoilinfinancialmarkets.Ourhypothesisisthat,inderivativesmarkets,randomtradesmadebyriskneutralinvestorsandbasedonarbitragefreevaluati
6、oncanmovepricesawayarXiv:1106.5274v1[q-fin.TR]26Jun2011fromtheirfundamentalvalues.Thiseffectcanimprovemarketinstabilitybyleadingtoabruptpriceadjustmentstowardstheirfundamentalvalues.Theseadjustmentscantaketheformofeitherpricepeaksorpricecrashes,haveanendogenousorigin
7、andcanhappensystematically.⋆IwishtothankProf.MarcoVanniniforbeingmymentorandProf.AngeloAntociforconsiderateguidanceduringmystudies.IalsowishtothankDrAndreaPinnaandDrClaudioDetottoforpreciouscommentsonseminalstagesoftheresearch.Thisworkispartofajointresearchprogramsp
8、onsoredbytheDepartmentofEconomicsoftheUniversityofSassariandtheRegioneAutonomadellaSardegnaundertheregionallawn.7/2007.Ialsogratefullyackn
