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SUMMARY:Smooth Trading with Overconfidence and Market Power
DTSTART:20141106T091500
DTEND:20141106T104500
DTSTAMP:20260502T075315Z
UID:4ae010699d51ce854e1cfdf4c48da7b2cd678ca18bbbba68ab16785c
CATEGORIES:Conferences - Seminars
DESCRIPTION:Albert KYLE (University of Maryland)\nWe describe a symmetric 
 continuous-time model of trading among relatively overconfident oligopolis
 tic informed traders with exponential utility. Traders agree to disagree a
 bout the precisions of their continuous flows of Gaussian private informat
 ion. With enough disagreement\, an equilibrium exists in which prices reve
 al the average of all traders’ signals immediately\, but traders continu
 e to trade gradually towards target inventories. The price is a linear fun
 ction of a trader’s inventory\, the derivative of a trader’s inventory
 \, and the average other traders’ valuations. Prices reflect a “Keynes
 ian beauty contest.” Faster-than-equilibrium trading generates “flash 
 crashes.”
LOCATION:UNIL\, Extranef\, room 109 https://planete.unil.ch/plan/?local=EX
 T-109
STATUS:CONFIRMED
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