Mathematical Finance Colloquium: Strategic trading when agents forecast the forecasts of others: Existence and convergence
About this Event
3620 South Vermont Avenue, Los Angeles, CA 90089
Kasper Larsen, Rutgers University [in-person]
Title: Strategic trading when agents forecast the forecasts of others: Existence and convergence
Abstract: Foster and Viswanathan (1996) extend the discrete-time setting of Kyle (1985) to multiple informed traders who have partial information about the stock’s terminal dividend. We prove that an equilibrium exists in the setting of Foster and Viswanathan (1996). We conclude by discussing convergence to the continuous-time version given in Back, Cao, and Willard (2000). This is joint work with Jin Choi (UNIST).
Join Zoom Meeting:
https://usc.zoom.us/j/94973619069?pwd=VnU5bVlMc1pzVTlEYUVaZUYyNSt6UT09
Meeting ID: 949 7361 9069
Passcode: 925028
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