Научно-учебный семинар "Моделирование финансовых рынков"

В четверг, 23 октября, состоялся очередной семинар лаборатории по финансовой инженерии и риск-менеджменту. Докладчик: Шепелевой Ирины

В четверг, 23 октября, состоялся очередной семинар лаборатории по финансовой инженерии и риск-менеджменту. Докладчик: Шелепова Ирина с обзором статьи Albert Kyle "Continuous auctions and insider trading ".

Аннотация к докладу:

A dynamic model of insider trading with sequential auctions, structured to resemble a sequential equilibrium, is used to examine the informational content of prices, the liquidity characteristics of a speculative market, and the value of private information to an insider. The model has three kinds of traders: a single risk neutral insider, random noise traders, and competitive risk neutral market makers. The insider makes positive profits by exploiting his monopoly power optimally in a dynamic context, where noise trading provides camou-flage which conceals his trading from market makers. As the time interval between auctions goes to zero, a limiting model of continuous trading is obtained. In this equilibrium, prices follow Brownian motion, the depth of the market is constant over time, and all private information is incorporated into prices by the end of trading.