10:30-10:55
Bayesian Analysis of Individual Differences in Option Valuation
10:30 AM - 12:30 PM
Room: Stanhope - CC
This minisymposium will feature a broad range of mathematical, statistical, and computational methodology that can be used to resolve issues in finance and economics. Many of the underlying problems have been of great interest to practitioners but precise mathematical modeling and quantitative results have been limited. They include price dynamics of stocks due to behavioral effects such as overreaction. A computational optimization model will be proposed by using multi-scale approach.
Experimental economics has also opened up the possibility of examining the details of trades to determine motivations involved in the formation of bubbles. Analyzing the data in conjunction with differential equations, one can obtain considerable insight into the motivations of traders, particularly in terms of trend following versus investing on fundamentals.
Option valuation is crucial in financial economics. How do people actually make decisions in the presence of options? Such important questions will be addressed experimentally using a Bayesian analysis.
Mathematical problems also arise in other industrial applications. Energy markets have been of great interest in recent years. The quantitative modeling of price dynamics for crude oil and gasoline involve complex issues that need to be integrated within a single quantitative model.
The minisymposium is intended as an introduction to this new set of challenges without assuming any prior knowledge.
Organizer:
Ahmet Duran
University of Michigan, Ann Arbor
Gunduz Caginalp
University of Pittsburgh
10:30-10:55
Bayesian Analysis of Individual Differences in Option Valuation