• A
  • A
  • A
  • ABC
  • ABC
  • ABC
  • А
  • А
  • А
  • А
  • А
Regular version of the site

News

Research Seminar

Venue: Shabolovka st. 26, Room 3211


On Thursday, December 19  at  3.30 pm  International College of Economics and Finance held a research seminar.
Speaker: Anna Obizhaeva (University of Maryland)
Theme:  «Smooth Trading with Overconfidence and Market Power»
Venue: Shabolovka st., 26, room 3211

Abstract: We describe a symmetric continuous-time model of trading among relatively overconfident oligopolistic informed traders with exponentialutility. Traders agree to disagree about the precisions of their continuous flows of Gaussian private information. With enough disagreement, an equilibrium exists in which prices reveal the average of all traders’ signals immediately, but traders continue to trade gradually towards target inventories. The price is a linear function of a trader’s inventory, the derivative of a trader’s inventory, and the average other traders’ valuations. Prices reflect a “Keynesian beauty contest.” Faster-than-equilibrium trading generates “flash crashes.”


Forthcoming seminars

Past seminar