主題： Smooth Liquidity Trading, Super Impatient Speculator, and Price Spikes（流暢的流動性交易，極度不耐煩的投資者與價格峰值）

主講人：郭明，上海交通大學上海高級金融學院助理教授

日期：2015年7月15日（周三）

時間：上午10:00-11:30

地點：清華Betvictor中文版4号樓101教室

語言：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.

主講人簡介:

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.