The intention of this thesis is to provide a primitive mathematical model for a financial market in which tradings affect the asset prices. Currently, the idea of a price-volume relationship is typically used in the form of empirical models for specific cases. Among the theoretical models that have been used in stock markets, few included the volume parameter. The thesis provides a general theoretical model with the volume parameter for the intention of a broader use. The core of the model is the correlation between trading volume and stock price, indicating that volume should be a function of the stock price and time. This function between price and time was made visible by the use of the trading volume process, also known as the Limit Order book. The development of this model may be of some use to investors, who could build their wealth process based on the dynamics of the process found through a Limit Order Book. This wealth process can help them build an optimal trading strategy design.
| Identifer | oai:union.ndltd.org:ucf.edu/oai:stars.library.ucf.edu:honorstheses1990-2015-2661 |
| Date | 01 December 2014 |
| Creators | Chen-Shue, Yun |
| Publisher | STARS |
| Source Sets | University of Central Florida |
| Language | English |
| Detected Language | English |
| Type | text |
| Format | application/pdf |
| Source | HIM 1990-2015 |
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