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Sequential Fair Stackelberg Equilibria of Linear Strategies in Risk-Seeking Insider Trading

Journal of Systems Science & Complexity 2018年第5期31卷 1302-1328页

作者： GONG Fuzhou ZHOU Yonghui Academy of Mathematics and Systems Science Chinese Academy of Sciences Beijing 100190 China Guizhou Normal University Guizhou 550001 China

This paper develops a sequential fair Stackelberg auction model in which each of the two risk-seeking insiders has an equal chance to be a leader or follower at each auction stage. The authors establish the existence, uniqueness of sequential fair Stackelberg equilibria （in short, FSE） when both insiders adopt linear strategies, and find that at the sequential equilibria such two insiders compete aggressively that cause the liquidity of market to drop, the information to be revealed and the profit to go down very rapidly while the trading intensity goes substantially high. Furthermore, the authors also give continuous versions of corresponding parameters in the sequential FSE in closed forms, as the time interval between auctions approaches to zero. It shows that such parameters go down or up approximately exponentially and all of the liquidity of market, information and profit become zero while the trading intensity goes to infinity. Some numerical simulations about the sequential FSE are also illustrated.

关键词： continuous version insider trading risk-seeking sequential fair Stackelberg equilibria

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RELATIONS BETWEEN SOLUTIONS TO STOCHASTIC DIFFERENTIAL EQUATIONS DRIVEN BY SEMIMARTINGALE WITH NON-LIPSCHITZ COEFFICIENTS

引用

Annals of Differential Equations 2010年第1期26卷 16-23页

作者： Weiyin Fei School of Math. and Physics, Anhui University of Technology and Science,Wuhu 241000, Anhui

In this paper, a class of stochastic differential equations (SDEs) driven by semi-martingale with non-Lipschitz coefficients is studied. We investigate the dependence of solutions to SDEs on the initial value. To obtain a continuous version, we impose the conditions on the local characteristic of semimartingale. In this case, it gives rise to a flow of homeomorphisms if the local characteristic is compactly supported.

关键词： stochastic differential equations dependence of initial values local characteristic of semimartingale continuous version flow of homeomorphisms

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