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Optimization, Filtering, and Bridges in an Equilibrium Model of Informed Security Trading
Optimization| Speaker: | Kerry Back, Rice University |
| Related Webpage: | http://kerryback.net/ |
| Location: | 3106 MSB |
| Start time: | Thu, May 7 2015, 2:00PM |
In securities markets, investors infer information from orders, and traders adjust their order strategies to try to hide their information. Equilibrium involves filtering by uninformed investors and optimal control by informed investors. The equilibrium order flow process is a Brownian or Markov bridge from the perspective of an informed investor, and it is Brownian motion from the perspective of uninformed investors.