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Skip to Search Results- 2Mathematical Finance
- 1Accident Prevention
- 1Algorithm Trading
- 1Algorithmic Trading
- 1Algorithmic trading
- 1Capital Gains Tax
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Fall 2013
This thesis considers PVol (Percentage of Volume) strategies, which are an often used type of algorithmic trading strategies. In a PVol strategy, the broker aims to bring the order execution speed in line with a percentage of the market volume. This target percentage and the total order size are...
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Continuous-time Repeated Games with Imperfect Information: Folk Theorems and Explicit Results
DownloadSpring 2016
This thesis treats continuous-time models of repeated interactions with imperfect public monitoring. In such models, players do not directly observe each other's actions and instead see only the impacts of the chosen actions on the distribution of a random signal. Often, there are two reasons why...
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Fall 2021
In the United States, investors of exchange-traded funds (ETFs) and mutual funds are required to pay tax on the capital gains that their funds have made throughout the year. However, ETFs are able to avoid making taxable capital gains by taking advantage of a legal loophole, subsequently...
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Fall 2015
We formulate a continuous-time principal-agent model in which the agent performs two tasks: accident prevention and effort exertion. The principal can design a contract for the agent consisting of three components: a lump-sum payment, penalties when accidents occur, and continuous payments...
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Fall 2016
In this thesis, we introduce and study a model for a broker who executes a client order and takes over its execution risk at some transition time. Such agreements between clients and brokers are often called backstopped trades. To minimize risk, it may be beneficial for the broker to trade on...
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Spring 2023
Credit risk management, which deals with mitigating losses from lending activities, is crucial for financial institutions. Hence, credit risk modelling can be employed to reduce potential losses and avoid financial crises. There are sometimes monotonic relationships in credit risk models, which...
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Fall 2013
This thesis focuses on characterizing an optimal trading strategy for a large trader, who has to buy (or sell) a fixed large volume over a given time period. We propose a model in discrete time, based on VWAP (Volume Weighted Average Price). The objective is to minimize expected deviations...