Browsing by Author "Li, Su"
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Item Essays on Asset Pricing(2012) Li, Su; Kyle, Albert; Business and Management: Finance; Digital Repository at the University of Maryland; University of Maryland (College Park, Md.)This dissertation consists of three essays. The first essay is titled "Speculative Dynamics I: Imperfect Competition and the Implications for High Frequency Trading". In this essay, I analyze the nature of imperfect competition among informed traders who continuously generate and exploit private information about a risky asset's liquidation value which follows either a mean reverting process or random walk. I find the following results: (i) The combined trading of multiple informed traders is much more aggressive than the monopolistic trader in Chau and Vayanos (2008). (ii) The equilibrium price is even more revealing of the informed trader's private information. (iii) Market depth improves as the number of informed traders increases. (iv) In the limit of continuous trading, market is strong form efficient while aggregate profits of the informed traders remain bounded away from zero, in sharp contrast to the corresponding results in Holden and Subrahmanyam (1992), and Foster and Viswanathan (1993). (vi) Informed traders' inventories follows a Brownian motion, therefore enabling them to contribute significantly to total trading volume and price variance. These results shed light on empirical findings regarding high frequency traders by helping explain why they remain protable despite aggressive competition with each other, why their trading volume is very high, to what extent they improve efficiency, and through what mechanism they improve liquidity. The second essay is titled "Speculative Dynamics II: Asymmetric Informed Traders". In this essay, I study the strategic interaction between hierarchical duopolistic informed traders who continuously generate and exploit private information about a risky asset's liquidation value, which follows either a mean reverting process or random walk. I find the following results: (i) Both traders duopolize the private information they both observe and the more informed trader monopolizes the additional exclusive private information. (ii) The common private information is incorporated into prices more efficiently than the monopolistic private information. (iii) In the limit of continuous trading, both traders' inventories based on their shared information follow Brownian motions. (iv) The trader with less superior information has more contribution to the trading volume and price volatility when the frequency of trading is sufficiently high. (v) As trading becomes more frequent, the less informed trader's expected profits may fall but converges to a strictly positive constant in the limit. The third essay is titled "Real Options and Product Differentiation". In this essay, I develop a continuous time real investment model in an oligopoly industry where the products are heterogeneous. Although the heterogeneous products assumption can lower each firm's incentive to exercise the growth options prematurely, the preemption strategy is still profitable.Item Phase transitions of high-temperature superconductors(2007-07-30) Li, Su; Lobb, Christopher J; Physics; Digital Repository at the University of Maryland; University of Maryland (College Park, Md.)In this thesis phase transitions of the high temperature superconductor YBa$_2$Cu$_3$O$_{7-\delta}$ (YBCO) have been investigated in both zero and non-zero magnetic field. Current-Voltage characteristics of thin films and single crystals have been studied to determine the transition temperature and critical exponents. We optimized our film samples to ensure that they are of single phase, $c$-axis oriented and homogeneous. High-quality crystal samples were provided by Dr.~Kouji Segawa and Dr.~Yoichi Ando. In the zero-field transition, finite-size effects, which can obscure the phase transition by introducing ohmic tails below the transition temperature, are observed in the current-voltage curves of even the thickest film (2400 \AA) at low currents. The data at high currents are not affected by finite-size effects so that we can use derivative plots to determine $T_c$ and the dynamic critical exponent $z$. The current-voltage curves of crystals' data, however, are not affected by finite-size effects even in the lowest current measured as expected. $z$ determined from YBCO crystals are consistent with the one determined from YBCO films: $z=1.5 \pm 0.2$. This is a strong evidence that the dynamic universality class of high-temperature superconductors belongs to model-E dynamics in zero field. The static critical exponent $\nu$ determined from %the ohmic tails above $T_c$ is $0.85\pm 0.2$ for the melting line $(T_c-T_{g(m)})\sim H^{1/2\nu_0}$ is $0.68 \pm 0.1$ for crystal and $0.62\pm 0.1$ for thin films. The phase transitions in the mixed state (non-zero field) are more complicated. In the phase transition of YBCO thin films in field, finite-size effects are again observed. The presence of magnetic field leads to anisotropic vortex loops so that finite-size effects are enhanced. We observe a magnetic field $H$ dependence of the crossover current density $J_{min}$ as well as the exponent $z$. At $H>1$ T, $J_{min}$ and $z$ stay relatively constant. $z\simeq 2$ at high field implies a crossover from model-E dynamics to model-A dynamics. Finally, we will discuss $E-J$ characteristics of the first-order melting transition of untwinned YBCO single crystals.