【本期主题】Private Inside Information and Two-Stage Market Making: A Simple Model
In traditional market microstructure models, informed traders have inside information on the value of the assets and market makers understand the quality of the inside information (i.e. the distribution of the value of assets). While it is convenient to assume the prior of inside information is common knowledge, it may well be that market maker`s understanding of the quality of inside information is not perfect, or even very poor. In this paper, we study a model in which the informed trader receives a signal that is correlated with the true asset value. The correlation is known to the informed trader, but not to the market makers. The market makers know the distribution of the correlation. Drawing on the two-stage lottery literature, we solve the market making process in two steps and find that the extra layer of uncertainty will cause the informed trader trades less aggressively, the market makers become more conservative so that the price impact of any order will be larger, and the informed trader makes more profit.
【报告人】黄慧 加拿大滑铁卢大学助理教授
【时 间】5月24日（星期二）中午12:00
【地 点】中国人民大学明德主楼714
【报告人简介】黄慧，2005年10月从加拿大西安大略大学获得经济学博士学位。现任加拿大滑铁卢大学经济系助理教授，将于2011年7月任教于加拿大里贾那大学工商管理学院，曾任新西兰惠灵顿维多利亚大学经济金融学院助理教授。主要研究领域为市场微观结构和公司金融。她在国际著名学术刊物发表论文多篇。发表论文的杂志包括Journal of Banking and Finance, Economic Theory, Economics Letters, International Review of Economics and Finance, Applied Economics, Global Economy Journal等。
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