主讲人：杨晨 瑞士苏黎世联邦理工学院数学系博士后

讲座时间：2018年5月2日（周三）下午3:00

地点：3-300

主办单位：中国金融研究院

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主讲人简介

杨晨，新加坡国立大学数学博士，现于瑞士苏黎世联邦理工学院(ETH Zurich)数学系进行博士后研究工作。目前的研究领域为非完全市场下的最优投资与消费、对冲，以及市场微观结构。曾在The Review of Financial Studies，International Review of Economics & Finance 等国外杂志发表论文。

Abstract

We study Nash equilibria for inventory-averse high-frequency traders (HFTs), who trade to exploit information about future price changes. For discrete trading rounds, the HFTs’ optimal trading strategies and their equilibrium price impact are described by a system of nonlinear equations; explicit solution obtain around the continuous-time limit. Unlike in the risk-neutral case, the optimal inventories become mean-reverting and vanish as the number of trading rounds becomes large. In contrast, the HFT’s risk-adjusted profits and the equilibrium price impact converge to their risk-neutral counterparts. Compared to a social-planner solution for cooperative HFTs, Nash competition leads to excess trading, so that marginal transaction taxes in fact benefit the HFTs.