Announcement: Talk by Kerry Back, John M. Olin School of Business,
Washington University in St. Louis
Date: 23.10.2001
Time: 16:30
Location: Vienna University of Technology, Freihaus, Turm A (green),
6th floor, Room 107
(see map at:
http://www.fam.tuwien.ac.at/schedule/)
Title of the talk: Information in Securities Markets: Kyle meets Glosten
and Milgrom
Abstract:
We study a model of informed trading in which trades arrive sequentially,
uninformed trades arriving as a Poisson process. We characterize an
equilibrium in which the single informed trader plays a mixed strategy - a
point process with stochastic intensity. In this equilibrium, informed and
uninformed trades arrive probabilistically, as they are assumed to do in
Glosten-Milgrom models. We study a sequence of such markets in which
uninformed trades become smaller and arrive more frequently, approximating
a Brownian motion. We show that if the equilibria converge, then their
limit is the equilibrium of a Kyle-type continuous auction model.
Further information on other talks at the Institute of Financial and
Actuarial Mathematics can be found at
http://www.fam.tuwien.ac.at/schedule/
--
|christopher summer ||tu vienna, financial and actuarial mathematics
|tel +43 1 58801 10522 ||http://www.fam.tuwien.ac.at/~csummer
|fax +43 1 58801 10599 ||csummer(a)fam.tuwien.ac.at