英文标题：
《The Laws of Motion of the Broker Call Rate in the United States》
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作者：
Alex Garivaltis
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最新提交年份：
2019
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英文摘要：
  In this paper, which is the third installment of the author\'s trilogy on margin loan pricing, we analyze $1,367$ monthly observations of the U.S. broker call money rate, which is the interest rate at which stock brokers can borrow to fund their margin loans to retail clients. We describe the basic features and mean-reverting behavior of this series and juxtapose the empirically-derived laws of motion with the author\'s prior theories of margin loan pricing (Garivaltis 2019a-b). This allows us to derive stochastic differential equations that govern the evolution of the margin loan interest rate and the leverage ratios of sophisticated brokerage clients (namely, continuous time Kelly gamblers). Finally, we apply Merton\'s (1974) arbitrage theory of corporate liability pricing to study theoretical constraints on the risk premia that could be generated in the market for call money. Apparently, if there is no arbitrage in the U.S. financial markets, the implication is that the total volume of call loans must constitute north of $70\\%$ of the value of all leveraged portfolios.
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中文摘要：
本文是作者关于保证金贷款定价三部曲的第三部分，我们分析了美国券商每月1367美元的通知利率，这是券商可以借钱为其零售客户的保证金贷款融资的利率。我们描述了该系列的基本特征和均值回复行为，并将经验推导的运动定律与作者先前的保证金贷款定价理论（Garivaltis 2019a-b）并列。这使我们能够推导出控制保证金贷款利率和成熟经纪客户（即连续时间凯利赌徒）杠杆率演变的随机微分方程。最后，我们运用默顿（1974）的公司责任定价套利理论，研究了在通知金市场上可能产生的风险溢价的理论约束。显然，如果美国金融市场没有套利，这意味着通知贷款总额必须占所有杠杆投资组合价值的70%以上。
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分类信息：

一级分类：Economics        经济学
二级分类：Econometrics        计量经济学
分类描述：Econometric Theory, Micro-Econometrics, Macro-Econometrics, Empirical Content of Economic Relations discovered via New Methods, Methodological Aspects of the Application of Statistical Inference to Economic Data.
计量经济学理论，微观计量经济学，宏观计量经济学，通过新方法发现的经济关系的实证内容，统计推论应用于经济数据的方法论方面。
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一级分类：Economics        经济学
二级分类：General Economics        一般经济学
分类描述：General methodological, applied, and empirical contributions to economics.
对经济学的一般方法、应用和经验贡献。
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一级分类：Quantitative Finance        数量金融学
二级分类：Economics        经济学
分类描述：q-fin.EC is an alias for econ.GN. Economics, including micro and macro economics, international economics, theory of the firm, labor economics, and other economic topics outside finance
q-fin.ec是econ.gn的别名。经济学，包括微观和宏观经济学、国际经济学、企业理论、劳动经济学和其他金融以外的经济专题
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一级分类：Quantitative Finance        数量金融学
二级分类：General Finance        一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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一级分类：Quantitative Finance        数量金融学
二级分类：Portfolio Management        项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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一级分类：Quantitative Finance        数量金融学
二级分类：Risk Management        风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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