Abstract

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.

Notes

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Thesis Completion

2014

Semester

Fall

Advisor

Yong, Jiongmin

Degree

Bachelor of Science (B.S.)

College

College of Sciences

Department

Mathematics

Degree Program

Mathematics

Subjects

Dissertations, Academic -- Sciences; Sciences -- Dissertations, Academic

Format

PDF

Identifier

CFH0004689

Language

English

Access Status

Open Access

Length of Campus-only Access

None

Document Type

Honors in the Major Thesis

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Included in

Mathematics Commons

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