An behavior finance approach to asset price correlations and applications to financial engineering

在全球金融危机之后，一些关于美国股市的研究论文报告称，各行业之间的关联度更高。这一现象可能无法通过传统的风险收益分析来解释。我们应用了一个同时包含可逆链和不可逆链的马尔可夫切换模型，发现市场的结构性变化似乎发生在2003年，远在危机之前。我们还分析了信用违约互换(CDS)市场的流动性指标之一-买卖价差。这些利差是由市场参与者的行为决定的。我们成功地将自激发过程与时变布朗运动相结合。此外，我们还研究了当基金处于杠杆状态时基金经理的最优停止问题。

After the global financial crisis, a number of research papers on the U.S. stock market report a higher correlation among indusries. This phenomenon may not be explained through the conventional risk-return analysis. We apply a Markov switching model that contains both reversible and irreversible chains and find that the structural change of the market seemed to occur in 2003, well before the crisis.We also analyse bid-ask spreads, one of the liquidity measures, in the credit default swap (CDS) markets. These spreads are determined by the behaviors of the market participants. We successfully fit a self-exciting process combinded with time-changed Brownian motion. Moreover, we investigate the fund manager's optimal stopping problem where the fund is leveraged.