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sequentialfairstackelbergequilibriaoflinearstrategiesinriskseekinginsidertrading
Gong Fuzhou1; Zhou Yonghui2
2018
Source Publicationjournalofsystemsscienceandcomplexity
ISSN1009-6124
Volume031Issue:005Pages:1302
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.
Language英语
Document Type期刊论文
Identifierhttp://ir.amss.ac.cn/handle/2S8OKBNM/43185
Collection应用数学研究所
Affiliation1.中国科学院数学与系统科学研究院
2.贵州师范大学
Recommended Citation
GB/T 7714
Gong Fuzhou,Zhou Yonghui. sequentialfairstackelbergequilibriaoflinearstrategiesinriskseekinginsidertrading[J]. journalofsystemsscienceandcomplexity,2018,031(005):1302.
APA Gong Fuzhou,&Zhou Yonghui.(2018).sequentialfairstackelbergequilibriaoflinearstrategiesinriskseekinginsidertrading.journalofsystemsscienceandcomplexity,031(005),1302.
MLA Gong Fuzhou,et al."sequentialfairstackelbergequilibriaoflinearstrategiesinriskseekinginsidertrading".journalofsystemsscienceandcomplexity 031.005(2018):1302.
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