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Sequential Fair Stackelberg Equilibria of Linear Strategies in Risk-Seeking Insider Trading
Gong Fuzhou1; Zhou Yonghui2
2018-10-01
Source PublicationJOURNAL OF SYSTEMS SCIENCE & COMPLEXITY
ISSN1009-6124
Volume31Issue:5Pages:1302-1328
AbstractThis 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.
KeywordContinuous version insider trading risk-seeking sequential fair Stackelberg equilibria
DOI10.1007/s11424-018-6266-1
Language英语
Funding ProjectNational Natural Science Foundation of China[10721101] ; National Natural Science Foundation of China[11161011] ; National Natural Science Foundation of China[11365005] ; National Natural Science Foundation of China[Guizhou EDKY[2016]027] ; National Natural Science Foundation of China[Guizhou QKZYD[2016]4006] ; National Natural Science Foundation of China[Guizhou ZDXK[2016]8] ; China's National 973 Project[2006CB805900]
WOS Research AreaMathematics
WOS SubjectMathematics, Interdisciplinary Applications
WOS IDWOS:000441202600010
PublisherSPRINGER HEIDELBERG
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Document Type期刊论文
Identifierhttp://ir.amss.ac.cn/handle/2S8OKBNM/30867
Collection应用数学研究所
Affiliation1.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China
2.Guizhou Normal Univ, Guiyang 550001, Guizhou, Peoples R China
Recommended Citation
GB/T 7714
Gong Fuzhou,Zhou Yonghui. Sequential Fair Stackelberg Equilibria of Linear Strategies in Risk-Seeking Insider Trading[J]. JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY,2018,31(5):1302-1328.
APA Gong Fuzhou,&Zhou Yonghui.(2018).Sequential Fair Stackelberg Equilibria of Linear Strategies in Risk-Seeking Insider Trading.JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY,31(5),1302-1328.
MLA Gong Fuzhou,et al."Sequential Fair Stackelberg Equilibria of Linear Strategies in Risk-Seeking Insider Trading".JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY 31.5(2018):1302-1328.
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