The uniqueness of equilibrium and dynamics of learning with price manipulation
Speaker: Yuqing Liu
Affiliation: The University of Queensland (School of Economics)
Abstract
This paper studies the Chakraborty and Yilmaz (2004) model of dynamic trading by an informed trader and investigates the uniqueness of equilibrium. In our model, the informed trader understands the effect of current trades on future prices and future trading profits, so she has an incentive to decrease the rate at which the market learns her private information. We demonstrate how the informed trader's strategy affects market learning of her private information, both theoretically and computationally. It is co-authored with Andrew McLennan and Shino Takayama.
About Statistics, modelling and operations research seminars
Students, staff and visitors to UQ are welcome to attend our regular seminars.
The events are jointly run by our Operations research and Statistics and probability research groups.
The Statistics, modelling and operations research (SMOR) Seminar series seeks to celebrate and disseminate research and developments across the broad spectrum of quantitative sciences. The SMOR series provides a platform for communication of both theoretical and practical developments, as well as interdisciplinary topics relating to applied mathematics and statistics.
Venue
Room 210 (and via Zoom:
https://uqz.zoom.us/j/85861107130)
