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Equilibrium models with strategic traders
Descriptive
TitleInfo
Title
Equilibrium models with strategic traders
Name
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Chen
NamePart
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Xiao
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Xiao Chen
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author
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Larsen
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Kasper
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Kasper Larsen
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chair
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Feehan
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Paul
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Paul Feehan
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Advisory Committee
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internal member
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Weston
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Kim
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Kim Weston
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Advisory Committee
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internal member
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Xing
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Hao
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Hao Xing
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Advisory Committee
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Rutgers University
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degree grantor
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School of Graduate Studies
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theses
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ETD doctoral
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2021
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2021-05
Language
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English
Abstract
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This dissertation focuses on using equilibrium models with strategic traders to solve problems. We start with the asset pricing puzzles. We build a Nash equilibrium model to resolve the interest rate puzzle. We find a closed-form solution and give an existence proof. We find that compared to the analogous Pareto-efficient equilibrium model, price-impact has an amplification effect on risk-sharing distortions that helps resolve the interest rate puzzle. Next, we introduce the predatory trading. We propose a Nash equilibrium model with asymmetric informed and restricted traders to study that. Finally, we propose another equilibrium model with heterogeneously informed traders to study predatory trading.
Subject
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Topic
Mathematics
Subject
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Topic
Asset pricing
Subject
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Topic
Econometric models
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Rutgers University Electronic Theses and Dissertations
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ETD_11637
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1 online resource (viii, 95 pages) : illustrations
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Ph.D.
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Includes bibliographical references
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School of Graduate Studies Electronic Theses and Dissertations
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doi:10.7282/t3-m64y-mr70
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Rights
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The author owns the copyright to this work.
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Name
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Chen
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Xiao
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Permission or license
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2021-03-29 11:25:17
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Xiao Chen
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Rutgers University. School of Graduate Studies
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Author Agreement License
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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.
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2021-05-31
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2021-11-30
Detail
Access to this PDF has been restricted at the author's request. It will be publicly available after November 30th, 2021.
Copyright
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Copyright protected
Availability
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Open
Reason
Permission or license
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