시장미시구조, 포트폴리오 선택, 그리고 이자율 기간구조모형에 관한 연구
Essays on Market Microstructure, Portfolio Selection, and the Term Structure of Interest Rates
- 주제(키워드) Limit order book , Portfolio selection , Malliavin calculus , Martingale approach , Term structure models , Efficient method of moments
- 발행기관 아주대학교
- 지도교수 구형건
- 발행년도 2016
- 학위수여년월 2016. 8
- 학위명 박사
- 학과 및 전공 일반대학원 금융공학과
- 실제URI http://www.dcollection.net/handler/ajou/000000023331
- 본문언어 영어
- 저작권 아주대학교 논문은 저작권에 의해 보호받습니다.
초록/요약
The aim of this dissertation is to analyze price changes from the aspects of market microstructure, study the optimal portfolio selection of an individual with the target level of wealth, and estimate multi-factor term structure models. These studies, which are important both in academic and industrial financial engineering, provide the following contributions. In the first study, I use the TAQ data of KOSPI 200 index futures market to test the effect of orders at the best quotes on price changes with the model proposed in Cont et al. (2014). The test results suggest that additional assumptions are necessary when the model is considered. The model performance varying with observation timescale is also discussed. The second study deals with the problem of determining optimal strategies of an individual who has a target level of wealth at a specific time. In this case, the individual's utility function of terminal wealth is not differentiable. I use a simulation-based approach using Malliavin calculus, and obtain the optimal policies for achieving the goal. This is an extension of the method proposed in Detemple et al. (2003) in the sense that a non-smooth utility function is considered. In the third study, I estimate and compare multi-factor term structure models using the efficient method of moments estimation. The affine and quadratic term structure models are considered. The difference between the existing literature and this study is that the positivity constraint is not imposed, which reflects the recently observed negative interest rates. Relaxing the constraint results in improvement in the goodness-of-fit test. This implies that it has to be reconsidered to impose the positivity constraint of interest rates on term structure models.
more목차
1 The Effect of Limit Order Flows at the Best Quotes on Price Changes 1
1.1 Introduction 1
1.2 CKS Model 3
1.3 Data and Results of Test 4
1.3.1 Data Description 4
1.3.2 Regression Analysis 8
1.4 Discussion of the CKS Model 11
1.4.1 VAR Analysis 11
1.4.2 Limit Order Activity 13
1.5 Conclusion 15
2 Optimal Portfolio Selection Using Malliavin Calculus 16
2.1 Introduction 16
2.2 The Optimization Problem 18
2.3 General Form of Solution by the Martingale Approach 20
2.4 Solutions 21
2.4.1 Case 1: Constant Coefficients 21
2.4.2 Case 2: Stochastic Market Price of Risk 23
2.5 Conclusion 31
3 A Comparison of Term Structure Models Using Efficient Method of Moments 34
3.1 Introduction 34
3.2 Term Structure Models 35
3.2.1 Single-Factor Term Structure Models 36
3.2.2 Affine Term Structure Models 37
3.2.3 Quadratic Term Structure Models 40
3.3 Data and Estimation Method 42
3.3.1 Data Description 42
3.3.2 Estimation Method 43
3.4 Estimation Results 45
3.5 Conclusion and Discussion 47
A Appendix for Chapter 1 49
A.1 KRDS Data Processing 49
A.2 Regression Results 50
B Appendix for Chapter 2 53
B.1 Introduction to Malliavin Calculus 53
C Appendix for Chapter 3 56
C.1 SNP Score Generator 56
References 58
