2017 Fiscal Year Final Research Report
Incomplete market structure with model uncertainty
| Project/Area Number |
15K03546
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Multi-year Fund |
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| Section | 一般 |
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| Research Field |
Money/ Finance
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| Research Institution | Hokkai-Gakuen University |
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Principal Investigator |
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| Project Period (FY) |
2015-04-01 – 2018-03-31
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| Keywords | 不確実性 / モデル・リスク / 市場の摩擦 / 非完備市場 / 条件付き請求権 |
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| Outline of Final Research Achievements |
We considered the financial market structure of contingent claims when the probability distribution of asset prices is given in incomplete form. Then, the following results are derived. First, if investors do not set the risk limit, then they do not participate the market. Second, the number of buyer of contingent claims increasing, the price of them increases. Third, the ratio of the number of buyer and seller does not affect the trading volume of contingent claims.
We further clarified the market structure of underlying assets; i.e., when investors and market makers optimize their utilities in models with transaction costs, the transaction costs are determined such that the profit of market makers will be stable, even if the market parameters is fluctuated.
As an application of the above research, we also derived the optimal pairs trading strategy of investors confronting the model uncertainty.
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| Free Research Field |
金融・ファイナンス
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