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                                                     Seminar

             Department of Systems Engineering and Engineering Management
                                  The Chinese University of Hong Kong

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Title

:

A behavioral finance based tick-by-tick model for price and volume

　

　

　

Speaker

:

Prof. Ka Chun Ma

　

　

Department of Finance

　

　

CUHK

　

　

　

Date

:

October 23rd, 2009 (Friday)

　

　

　

Time

:

4:30 p.m. - 5:30 p.m.

　

　

　

Venue

:

Room 513

　

　

William M.W. Mong Engineering Building

　

　

(Engineering Building Complex Phase 2)

　

　

CUHK

　

　

　

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Abstract:
　

We propose a model for jointly predicting stock price and volume at the tick-by-tick level. We model the investors\' preferences by a random utility model that incorporates several important behavioral biases such as the status quo bias, the disposition effect, and loss-aversion. Our model is a logistic regression model with incomplete information; consequently, we are unable to use the maximum likelihood estimation method and have to resort to Markov Chain Monte Carlo (MCMC) to estimate the model parameters. Moreover, the constraint that the volume predicted by the MCMC model exactly match the observed volume vt introduces serial correlation in the stock price. Thus, the standard MCMC methods for calibrating parameters do not work. We develop new modifications of the Metropolis-within-Gibbs method to estimate the parameters in our model. Our primary goal in developing this model is to predict the market impact function and VWAP (volume weighted average price) of individual stocks.

Joint work with Garud Iyengar at Columbia University.


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Biography:
　

Alfred Ka Chun Ma is an Assistant Professor at Department of Finance, CUHK.
He obtained PhD from the Industrial Engineering and Operations Research department at Columbia University and a BSc and MPhil in Mathematics from CUHK. He has worked in Goldman Sachs in New York as a summer associate and he is currently an Associate of Society of Actuaries.


************************* ALL ARE WELCOME ************************

　

　

　

Host

:

Prof. Chen Nan

Tel

:

(852) 2609-8237

Email

:

nchen@se.cuhk.edu.hk

　

　

　

Enquiries

:

Prof. Nan Chen or Prof. Sean X. Zhou

　

:

Department of Systems Engineering and Engineering Management

　

　

CUHK

Website

:

http://www.se.cuhk.edu.hk/~seg5810

Email

:

seg5810@se.cuhk.edu.hk

　

　

　

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