Yu An
Institution
Johns Hopkins University
PhD Year
2019
yua@jhu.edu
FTG Membership
Member
Website
https://sites.google.com/view/yu-an
Featured Work
Apr 30, 2023
Flow-Based Arbitrage Pricing Theory
I introduce a new approach, model, and definition for analyzing demand effects in asset pricing. My approach generalizes arbitrage pricing, and avoids making any parametric assumptions on utility function and payoff distribution, which are commonly found in equilibrium literature. My approach also reveals and relaxes an unrealistic cross-sectional restriction on price impacts in the literature's quadratic-normal setup. In my model, price impacts between underlying assets...
