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/