sequentialfairstackelbergequilibriaoflinearstrategiesinriskseekinginsidertrading

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	sequentialfairstackelbergequilibriaoflinearstrategiesinriskseekinginsidertrading
	Gong Fuzhou1 ; Zhou Yonghui 2
	2018-01-01
发表期刊	journalofsystemsscienceandcomplexity
ISSN	1009-6124
卷号	031 期号:005 页码:1302
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.
语种	英语
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/43185
专题	应用数学研究所
作者单位	1.中国科学院数学与系统科学研究院 2.贵州师范大学
推荐引用方式 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.