Topic: Smooth Liquidity Trading, Super Impatient Speculator, and Price Spikes
Speaker: Ming Guo, Assistant Professor of Finance, Shanghai Advanced Institute of Finance (SAIF), Shanghai Jiaotong University
Date: July 15th (Wed.)
Time: 10:00-11:30am
Location: Building 4, Room 101
Language: English
Abstract:
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.
About the speaker:
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. Professor Guo offers the course “Derivative Securities” at SAIF.
