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Essays on coordination and financial markets
Descriptive
TitleInfo
Title
Essays on coordination and financial markets
Name
(type = personal)
NamePart
(type = family)
Galunic
NamePart
(type = given)
Nicholas B.
NamePart
(type = date)
1983-
DisplayForm
Nicholas Galunic
Role
RoleTerm
(authority = RULIB)
author
Name
(type = personal)
NamePart
(type = family)
SOPHER
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(type = given)
BARRY
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BARRY SOPHER
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Advisory Committee
Role
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chair
Name
(type = personal)
NamePart
(type = family)
Campbell
NamePart
(type = given)
Colin
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Colin Campbell
Affiliation
Advisory Committee
Role
RoleTerm
(authority = RULIB)
internal member
Name
(type = personal)
NamePart
(type = family)
McLean
NamePart
(type = given)
Richard
DisplayForm
Richard McLean
Affiliation
Advisory Committee
Role
RoleTerm
(authority = RULIB)
internal member
Name
(type = personal)
NamePart
(type = family)
Bykowsky
NamePart
(type = given)
Mark
DisplayForm
Mark Bykowsky
Affiliation
Advisory Committee
Role
RoleTerm
(authority = RULIB)
outside member
Name
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NamePart
Rutgers University
Role
RoleTerm
(authority = RULIB)
degree grantor
Name
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NamePart
Graduate School - New Brunswick
Role
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(authority = RULIB)
school
TypeOfResource
Text
Genre
(authority = marcgt)
theses
OriginInfo
DateCreated
(qualifier = exact)
2012
DateOther
(qualifier = exact);
(type = degree)
2012-01
Place
PlaceTerm
(type = code)
xx
Language
LanguageTerm
(authority = ISO639-2b);
(type = code)
eng
Abstract
(type = abstract)
This dissertation is concerned with microeconomic models of equilibrium pricing in financial markets of varying organizational scope. The first two chapters are based on game-theoretic models characterized by a coordination problem. I begin at the industry level in Chapter 2 where I solve the chicken-or-the-egg problem of platform pricing. I show that the elasticity of demand is greater for the more valued side and hence a monopolist will charge that side a lower price. These results have implications on how exchanges admit traders and apply to more general two-sided markets. My findings are supported by experimental tests. Chapter 3 examines regulatory efficacy in manipulating a currency market with a peg. I solve for equilibrium speculator conduct and central bank intervention policy where the speculator population is discrete. Sudden equilibrium price collapses are related explicitly to fundamentals. The main findings are again supported by experimental tests. In the final chapter, I study a market where strategic behavior is set aside and market participants are instead assumed to be perfect delta hedgers who immediately exploit arbitrage opportunities. I numerically estimate the equilibrium price of an exotic option in such a market.
Subject
(authority = RUETD)
Topic
Economics
RelatedItem
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TitleInfo
Title
Rutgers University Electronic Theses and Dissertations
Identifier
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ETD
Identifier
ETD_3792
PhysicalDescription
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electronic resource
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application/pdf
InternetMediaType
text/xml
Extent
x, 98 p. : ill.
Note
(type = degree)
Ph.D.
Note
(type = bibliography)
Includes bibliographical references
Note
(type = vita)
Includes vita
Note
(type = statement of responsibility)
by Nicholas B. Galunic
Subject
(authority = ETD-LCSH)
Topic
Equilibrium (Economics)
Subject
(authority = ETD-LCSH)
Topic
Game theory
Identifier
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http://hdl.rutgers.edu/1782.1/rucore10001600001.ETD.000064092
RelatedItem
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TitleInfo
Title
Graduate School - New Brunswick Electronic Theses and Dissertations
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rucore19991600001
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NjNbRU
Identifier
(type = doi)
doi:10.7282/T3SX6BS8
Genre
(authority = ExL-Esploro)
ETD doctoral
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Rights
RightsDeclaration
(ID = rulibRdec0006)
The author owns the copyright to this work.
RightsHolder
(type = personal)
Name
FamilyName
Galunic
GivenName
Nicholas
Role
Copyright Holder
RightsEvent
Type
Permission or license
DateTime
(encoding = w3cdtf);
(qualifier = exact);
(point = start)
2012-01-05 22:10:40
AssociatedEntity
Name
Nicholas Galunic
Role
Copyright holder
Affiliation
Rutgers University. Graduate School - New Brunswick
AssociatedObject
Type
License
Name
Author Agreement License
Detail
I hereby grant to the Rutgers University Libraries and to my school the non-exclusive right to archive, reproduce and distribute my thesis or dissertation, in whole or in part, and/or my abstract, in whole or in part, in and from an electronic format, subject to the release date subsequently stipulated in this submittal form and approved by my school. I represent and stipulate that the thesis or dissertation and its abstract are my original work, that they do not infringe or violate any rights of others, and that I make these grants as the sole owner of the rights to my thesis or dissertation and its abstract. I represent that I have obtained written permissions, when necessary, from the owner(s) of each third party copyrighted matter to be included in my thesis or dissertation and will supply copies of such upon request by my school. I acknowledge that RU ETD and my school will not distribute my thesis or dissertation or its abstract if, in their reasonable judgment, they believe all such rights have not been secured. I acknowledge that I retain ownership rights to the copyright of my work. I also retain the right to use all or part of this thesis or dissertation in future works, such as articles or books.
Copyright
Status
Copyright protected
Availability
Status
Open
Reason
Permission or license
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Technical
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1430016
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