Two-price quantitative finance

二价量化金融

• 批准号: DP190102674
• 负责人: Prof Tak Kuen Siu
• 金额: $ 31.6万
• 依托单位: Macquarie University
• 依托单位国家: 澳大利亚
• 项目类别: Discovery Projects
• 财政年份: 2019
• 资助国家: 澳大利亚
• 起止时间: 2019-02-07 至 2023-12-31
• 项目状态: 已结题
• 来源: https://dataportal.arc.gov.au/RGS/Web/Grants/DP190102674
• 关键词: Two; price; quantitative; finance

This project aims to establish a novel field, namely two-price quantitative finance, and explore its applications. The new field will integrate two major schools for modelling and explain the presence of two prices, the buying and selling prices, widely observed in the real-world markets, and the equilibrium approach from the fundamental law of one price. The outcomes would deepen our understanding of the fundamental relationship among liquidity, prices, risk and the economy. This project expects to bring about long-term impact on quantitative finance and related applications through providing a deep understanding of, and a new perspective for, the design, risk and fairness of the finance, property and insurance markets.

本项目旨在建立一个新的领域，即两价量化金融，并探索其应用。新领域将整合两个主要的建模学派，并解释在现实世界市场中广泛观察到的两种价格，即买入和卖出价格的存在，以及来自一种价格基本定律的均衡方法。这些结果将加深我们对流动性、价格、风险和经济之间基本关系的理解。该项目旨在通过提供对金融，财产和保险市场的设计，风险和公平性的深刻理解和新视角，对量化金融及其相关应用产生长期影响。