Sequential Fair Stackelberg Equilibria of Linear Strategies in Risk-Seeking Insider Trading
文献类型：期刊论文
| 作者 | Gong Fuzhou1 ; Zhou Yonghui2
|
| 刊名 | JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY
 |
| 出版日期 | 2018-10-01 |
| 卷号 | 31期号:5页码:1302-1328 |
| 关键词 | Continuous version insider trading risk-seeking sequential fair Stackelberg equilibria |
| ISSN号 | 1009-6124 |
| DOI | 10.1007/s11424-018-6266-1 |
| 英文摘要 | 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. |
| 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 |
| 语种 | 英语 |
| WOS记录号 | WOS:000441202600010 |
| 出版者 | SPRINGER HEIDELBERG |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/30866]  |
| 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. |
入库方式： OAI收割
来源：数学与系统科学研究院
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