• <var id="fiahj"></var>
    <var id="fiahj"><output id="fiahj"></output></var>

    <var id="fiahj"></var><table id="fiahj"></table>
    <input id="fiahj"><rt id="fiahj"><form id="fiahj"></form></rt></input>
  • <table id="fiahj"><menu id="fiahj"></menu></table><sub id="fiahj"></sub>
    【金融高端論壇】 第一百零八期
    (漢青經濟與金融高級研究院發布于:2019-11-22 17:30:38)

    【金融高端論壇】 第一百零八期

    【本期主題】The Microstructure of Endogenous Liquidity Provision


    We propose a nonlinear rational expectations equilibrium model of high-frequency endogenous liquidity provision to explore fragile liquidity. With fast trading speed and private information, high-frequency traders can either compete with designated market makers (DMMs) by providing liquidity or attempt to profit from speculative trades that consume liquidity. The risk from this endogenous liquidity provision, coupled with limits to participation by DMMs, intensifies the adverse selection faced by DMMs. This can generate a gap between liquidity supply from DMMs and liquidity demand by informed traders. As a result, endogenous liquidity provision produces fragile liquidity, with the possibility of market breaks when high-frequency traders switch from liquidity provision to liquidity consumption on the basis of unexpected information signals.

    Keywords: endogenous liquidity provision, fragile liquidity, machine learning

    【報告人】Xuezhong (Tony) He 悉尼科技大學商學院金融學教授

    【時  間】11月29日 (周五)上午10:00

    【地  點】明德主樓A0515教室




    Xuezhong (Tony) He 教授現為悉尼科技大學商學院( UTS Business School )金融學教授,擔任國際知名期刊Journal of Economic Dynamics & Control的主編(Co-Editor)。主要研究領域包括基于異質信念的資產定價、金融市場建模與有限理性、市場微觀結構以及非線性經濟動力學等領域。他在Journal of Economic Dynamics &Control、Journal of Economic Behavior and Organization 、European Journal of Finance 、SIAM 、Journal of Evolutionary Economics和Quantitative Finance等國際主流學術期刊上發表文章50多篇,撰寫Handbook of Financial Markets: Dynamics and Evolution(Elsevier)、Handbook on Information Technology in Finance(Springer)等10余部學術書籍的部分章節。此外, He教授還擔任Journal of Economic Interaction and Coordination、Journal Differential Equations and Dynamical Systems 和Discrete Dynamics in Nature and Society 等多本國際學術期刊的副主編(Associate Editor)。









    Copyright © 2005-2020 RUC.EDU.CN
    地址:北京市海淀區中關村大街59號 郵編:100872 京公網安備110402430004號 京ICP備05066828號-1
    Site designed by MONOKEROS & powered by Sina App Engine