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CATEGORIES:Lecture / Talk / Workshop
DESCRIPTION:Umut Cetin\, London School of Economics\n\n[in-person]\nor\nJoi
 n Zoom Meeting: https://usc.zoom.us/j/94973619069?pwd=VnU5bVlMc1pzVTlEYUVaZ
 UYyNSt6UT09\nMeeting ID: 949 7361 9069  /  Passcode: 925028\n\n\nTitle: Ins
 ider trading with penalties\, entropy and quadratic BSDEs\n\n\nAbstract: Ky
 le model in continuous time where the insider may be subject to legal penal
 ties is considered. The equilibrium is characterized via a backward stochas
 tic differential equation (BSDE) whose terminal condition is determined as 
 the fixed point of a non-linear operator in equilibrium. In particular\, th
 e solution reveals an interesting connection between h-transformations and 
 quadratic BSDEs.\n\nThe model finds that the insiders trade the same consta
 nt multiple of the difference between their private signal and their expect
 ation of the market price right before the private information becomes publ
 ic\, which is in agreement with the recent empirical studies on insider tra
 ding. Moreover\, the model is applied to the optimization problem of a regu
 lator with the objective of deterring insider trading while ensuring that t
 he prices are informationally efficient. It is shown that the optimal penal
 ty policy is reduced to choosing from one of two extremal penalty levels th
 at correspond to high and low liquidity regimes. The optimal choice is then
  determined by the amount of noise trading and the relative importance of p
 rice informativeness.
DTEND:20240422T220000Z
DTSTAMP:20260305T195451Z
DTSTART:20240422T210000Z
GEO:34.022409;-118.291027
LOCATION:Kaprielian Hall (KAP)\, 414
SEQUENCE:0
SUMMARY:Mathematical Finance Colloquium: Insider trading with penalties\, e
 ntropy and quadratic BSDEs
UID:tag:localist.com\,2008:EventInstance_46182338338080
URL:https://calendar.usc.edu/event/mathematical-finance-colloquium
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