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Seminar
Department of Systems Engineering and Engineering Management
The Chinese
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Title |
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Stock Price and Market Maker Inventory Dynamics with
Heterogeneous Beliefs |
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Speaker |
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Prof. Duo Wang |
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Department of Financial Mathematics and Financial Engineering |
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South China Normal University |
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Date |
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Apr. 13, 2012 (Friday) |
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Time |
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4:30p.m.-5:30p.m. |
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Venue |
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Room 513 |
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William M.W. Mong Engineering
Building |
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(Engineering Building Complex Phase 2) |
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CUHK |
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Abstract:
This
paper examines the stabilizing role of a market maker who acts as both a
liquidity trader and an active investor under the framework of bounded rationality.
It does so by developing a stochastic dynamic asset price and market maker
inventory model with heterogeneous agents changing their strategies
asynchronously. Analysis of the corresponding deterministic model shows that
the stabilizing role of the market maker is often limited and subtle, and can
even destabilize a market when speculators are active. |
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Biography:
Duo Wang is a professor at
Department of Financial Mathematics and Financial Engineering, |
************************* ALL ARE WELCOME ************************
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Host |
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Prof. Nan Chen |
Tel |
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(852) 3943-8237 |
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Enquiries |
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Prof. Nan Chen or Prof. Sean X. Zhou |
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Department of Systems Engineering and Engineering
Management |
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CUHK |
Website |
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Email |
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