報(bào)告人：劉紅

講座日期：2020-12-08 8:30

報(bào)告地點(diǎn)：騰訊會(huì)議ID 783 610 667

講座人簡(jiǎn)介：

劉紅，東北師范大學(xué)數(shù)學(xué)與統(tǒng)計(jì)學(xué)院副教授，博士生導(dǎo)師。2008年博士畢業(yè)于中國(guó)科學(xué)院數(shù)學(xué)與系統(tǒng)科學(xué)研究院，師從鞏馥洲研究員。主要研究方向?yàn)殡S機(jī)過(guò)程、隨機(jī)分析及其在金融與經(jīng)濟(jì)中的應(yīng)用。主持國(guó)家自然科學(xué)基金面上項(xiàng)目、國(guó)家自然科學(xué)基金青年基金與天元基金項(xiàng)目各一項(xiàng)。在Automatica, International Review of Economics and Finance，Economic Modelling，North American Journal of Economics and Finance等國(guó)際SSCI與SCI雜志上發(fā)表論文多篇。

講座簡(jiǎn)介：

This paper examines the impact of public disclosure and partially informed outsiders on a risk-averse insider’s trading behaviour, market efficiency, market depth, etc. In our model, under the disclosure requirement except for the last auction, the market depth is the same at every auction. When informed outsiders are risk-neutral, in contrast to the case of a risk-averse insider with no informed outsiders, the insider is more concerned about the uncertain future price risk. When the number of informed outsiders increases, the market liquidity goes up, and the insider increases the variance of her random component to hide her trading strategy. However, since the insider is relatively more risk-averse, she pays less attention to doing this on her own. Besides, the order flow provided by informed outsiders and randomly added by the insider injects additional liquidity to the market. When informed outsiders are risk-averse, compared to risk-neutral informed outsiders, an insider is most concerned about trading risks brought by informed outsiders at the beginning of trading. Furthermore, whatever the trader is insider or informed outsider, the more risk-averse trader has the lower expected profits. Moreover, the greater risk aversion of outsiders leads to the smaller depth of the market.