Tid: 7 juni 1999 kl 1615-1700
Plats : Seminarierummet 3733, Institutionen för matematik, KTH, Lindstedts väg 25, plan 7. Karta!
Föredragshållare: Lennart Enström
Titel: Multispreads.
Sammanfattning:
In financial trading the use of spreads is of great importance. In a traditional spread one looks at the price difference between two related securities. The idea is that prices of related securities cannot drift far apart, and hence there exists an equilibrium relation between them. Using this equilibrium in trading gives possibilities similar to arbitrage, which one could call risk-arbitrage. In this thesis the notion of spreads is generalized to an arbitrary number of securities, and we will call this generalization multispreads. The key is to find the equilibrium between the securities, which is done by modelling the securities with error correction models. Given the equilibrium, one can then formulate a trading algorithm as an optimization problem, where one trades the securities such that the profit is maximized if the securities move towards the equilibrium.