主题： Smooth Liquidity Trading, Super Impatient Speculator, and Price
Spikes（流畅的流动性交易，极度不耐烦的投资者与价格峰值）
主讲人：郭明，上海交通大学上海高级金融德州扑克大小
助理教授
日期：2015年7月15日（周三）
时间：上午10:00-11:30
地点：德州扑克大小
金融德州扑克大小
4号楼101教室
语言：英文
摘要：
We analyze an infinite-horizon
discrete-time model in which a monopolistic speculator exploits his information
advantages regarding the fundamentals and smooth liquidity trading. This model
can be considered the relative version of the Kyle-model in a stationary
setting. As the trading interval goes to zero, a unique linear, nonfully
revealing limiting equilibrium is obtained, although the speculator becomes
super impatient and trades very quickly. Following a negative persistent
liquidity shock, first the stock price either rises or falls rapidly (similar
to a negative price spike). The speculator initially takes liquidity and
destabilizes the price when price spikes occur.
主讲人简介:
Ming Guo is an Assistant
Professor of Finance at Shanghai Advanced Institute of Finance (SAIF). Prior to
joining SAIF, he was an Assistant Professor of Finance, HSBC School of
Business, Beijing University. He served as a Quantitative Researcher (develop
quantitative trading strategies), Citadel Investment Group, from 2005 to 2007.
Dr. Guo’s research focuses on asset pricing, market microstructure and
empirical finance. He has published in leading ?nance journals, including Review
of Financial Studies, Journal of Banking and Finance, Journal of Economic
Theory, etc. His research has won different awards including Xia Best
Paper Awards, 2010, China International Conference in Finance and GTA Prize for
the excellent paper, China Finance Review International Conference. Dr. Guo
offers the course “Derivative Securities” at SAIF.
