User:Roadrunner/Projects

From Wikiversity

I have a list of questions I don't have time to think about, but here are the questions I am thinking about.

[edit] The problem

You are a securities company in Shanghai with the ability to issue and cancel warrants. Given the publicly available information include the current warrant prices, the price of the underlying, and trading volumes, what is the optimal strategy for issuing or canceling warrants.

The approach I'm taking is this.....

The risk-neutral probability distribution of the return on the warrant is an objective function that rational investors cannot disagree about. What rational investors can disagree about is the risk-neutral utility function of a given gain or loss. Combining the objective risk-neutral probabilities with the risk-neutral utility functions, you then have a set of supply and demand curves which should intersect at the equilibrium price of the warrant which should be the price indicated by option theory.

Now you should be able to take all of the observed information from the Shanghai market, calculate the market risk-neutral utility function and from that this gives you supply and demand curves and from those, you ought to be able to figure out how many warrants need to be issued or canceled to pull the market to equlibrium.

Then again maybe this all won't work.....

[edit] Other projects

My current projects are:

• Understanding the behavior of Shanghai warrants
• Developing an academic ecosystem that will provide a physics education to a wider audience