Two-Price Quantitative Finance

  • Siu, Ken (Primary Chief Investigator)
  • Elliott, Robert J. (Chief Investigator)
  • Madan, Dilip (Partner Investigator)

Project: Research

Project Details


This project aims to establish a novel field, namely two-price quantitative finance, and explore its innovative applications. The new field would integrate two major schools for modelling and explaining the presence of two prices, the buying and selling prices, widely observed in the real-world markets, and the equilibrium approach from the fundamental law of one price. The outcomes would deepen our understanding of the fundamental relationship among liquidity, prices, risk and the economy. The benefit would be to bring about a long-term impact on quantitative finance and related applications through providing a deep understanding of and a new perspective for the design, risk and fairness of the finance, property and insurance markets.
Short titleTwo-Price Quantitative Finance
AcronymARC - DP
Effective start/end date7/02/1931/12/22