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thesis-CJ.pdf (2.89 MB)
ETD Abstract Container
Abstract Header
Multiscale modeling and analysis of option markets
Author Info
Joseph, Charles
Permalink:
http://rave.ohiolink.edu/etdc/view?acc_num=case1396626935
Abstract Details
Year and Degree
2014, Doctor of Philosophy, Case Western Reserve University, Applied Mathematics.
Abstract
The fundamental question addressed in this thesis is: How does the mood of the traders affect a derivative markets? In lack of a reliable ground truth, a modeling-based approach is taken. First, we develop an agent based model that simulates the behavior of traders, characterized by few parameters that we associate to the mood. The effects related to different distributions of investors is observed via the time series of implied volatility surfaces of an option. To extract information out of the volatility surfaces, it has been found to be useful to reduce the dimensionality of the data. Typical model reduction involves low-rank approximation techniques, such as Principal Component analysis (PCA) or Nonnegative Matrix Factorization (NMF) algorithms. Principal component analysis and nonnegative matrix factorization has been successful in identifying market characteristics of different moods.
Committee
Erkki Somersalo, Dr. (Advisor)
Daniela Calvetti, Dr. (Advisor)
Cyrus Taylor, Dr. (Committee Member)
Wojbor Woyczynski, Dr. (Committee Member)
Pages
180 p.
Subject Headings
Finance
;
Mathematics
Keywords
Implied Volatility
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Citations
Joseph, C. (2014).
Multiscale modeling and analysis of option markets
[Doctoral dissertation, Case Western Reserve University]. OhioLINK Electronic Theses and Dissertations Center. http://rave.ohiolink.edu/etdc/view?acc_num=case1396626935
APA Style (7th edition)
Joseph, Charles.
Multiscale modeling and analysis of option markets.
2014. Case Western Reserve University, Doctoral dissertation.
OhioLINK Electronic Theses and Dissertations Center
, http://rave.ohiolink.edu/etdc/view?acc_num=case1396626935.
MLA Style (8th edition)
Joseph, Charles. "Multiscale modeling and analysis of option markets." Doctoral dissertation, Case Western Reserve University, 2014. http://rave.ohiolink.edu/etdc/view?acc_num=case1396626935
Chicago Manual of Style (17th edition)
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Document number:
case1396626935
Download Count:
780
Copyright Info
© 2014, all rights reserved.
This open access ETD is published by Case Western Reserve University School of Graduate Studies and OhioLINK.