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SUMMARY:Insider Trading with Residual Risk
DTSTART:20160315T120000
DTEND:20160315T130000
DTSTAMP:20260531T005625Z
UID:3e2d68e358de81a7f4a96d7351bb380cff996fd46ba2363ee8f1e674
CATEGORIES:Conferences - Seminars
DESCRIPTION:Ryan DONNELLY (Postdoc\, SFI@EPFL)\nWe consider an extension o
 f the Kyle (1985) model in which the insider is risk-averse and does not h
 ave complete information about the terminal value of the traded asset. The
  simultaneous addition of both risk aversion and residual risk changes the
  nature of linear equilibrium for both the market-maker and the insider: t
 he market-maker is now required to estimate the insider's inventory level 
 in addition to the insider's private signal\; the insider now bases her tr
 ades on her present inventory level and the market-maker's estimation of h
 er inventory level\, in addition to the market-maker's valuation error. We
  prove an existence result in the case of a single auction\, and we give n
 umerical examples of equilibria in the case of multiple auctions.
LOCATION:UNIL\, Extranef\, room 126 https://planete.unil.ch/plan/?local=EX
 T-126
STATUS:CONFIRMED
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