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International conference "Stochastic Optimization and Optimal Stopping"
September 28, 2012 11:00, Moscow, Steklov Mathematical Institute of RAS
 

Plenary talks


Liquidity, equilibrium and asymmetric information

Umut Çetin

The London School of Economics, UK

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Umut Çetin
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Abstract: In the framework introduced by Kyle (1985, Econometrica) we discuss the equilibrium pricing of risky assets when the agents are asymmetrically informed. An agent with private information, e.g. an insider or an investment bank with a good research division, strategically chooses her trades against prices quoted by competing market makers. In equilibrium prices depend on the volume and we discuss various liquidity parameters depending on the risk aversion of the agents. If time permits, we will also analyse what happens if there is also default risk for the risky asset.

Language: English

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