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SUMMARY:Dynamic Trading: Price Inertia\, Front-Running and Relationship Ba
 nking
DTSTART:20151009T103000
DTEND:20151009T120000
DTSTAMP:20260926T151710Z
UID:b76d73222b9986dbdf2ab59c112502d92c5ea2e693342a138afcb3dd
CATEGORIES:Conferences - Seminars
DESCRIPTION:Yuliy SANNIKOV (Princeton University)\nWe build a linear-quadr
 atic model to analyze trading in a market with private information and het
 erogeneous agents. Agents receive private endowment shocks and trade conti
 nuously. Agents differ in their need for trade as well as size\, i.e. the 
 ability to stay away from their ideal positions. In equilibrium\, trade is
  gradual\, its speed depends on the size of the market\, and trade among l
 arge market participants is slower than that among small investors. Price 
 has momentum due to the actions of large traders: it drifts up if the sell
 ers are fewer and larger and the buyers are smaller and more competitive\,
  and vice versa. The model captures welfare: it can answer questions about
  the social costs and benefits of high-frequency traders\, the welfare con
 sequences of market consolidation\, and many others.
LOCATION:UNIL\, Extranef\, room 126 https://planete.unil.ch/plan/?local=EX
 T-126
STATUS:CONFIRMED
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