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

doi:10.1007/s11424-018-6266-1

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	Sequential Fair Stackelberg Equilibria of Linear Strategies in Risk-Seeking Insider Trading
	Gong Fuzhou1 ; Zhou Yonghui 2
	2018-10-01
发表期刊	JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY
ISSN	1009-6124
卷号	31 期号:5 页码:1302-1328
摘要	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
DOI	10.1007/s11424-018-6266-1
语种	英语
资助项目	National 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研究方向	Mathematics
WOS类目	Mathematics, Interdisciplinary Applications
WOS记录号	WOS:000441202600010
出版者	SPRINGER HEIDELBERG
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/30867
专题	应用数学研究所
通讯作者	Zhou Yonghui
作者单位	1.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China 2.Guizhou Normal Univ, Guiyang 550001, Guizhou, Peoples R China
推荐引用方式 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.