2018年11月27日（周二）上午十点，悉尼科技大学何学中教授应邀做客广外金融论坛第三十讲，在我校南校区院系办公楼401室（yh86银河国际会议室）开展主题为“The Microstructure of Endogenous Liquidity Provision”的学术讲座。本次讲座由yh86银河国际yh86银河国际、广东省普通高校创新团队项目 “投资管理、期权定价和风险管理”联合主办，yh86银河国际副院长及团队负责人姚海祥教授主持讲座，马庆华教授、邓超博士、张群博士、周利博士、张琰博士等多位教师和团队成员都出席了本次讲座，yh86银河国际众多研究生也参加了本次论坛交流和学习。
何学中教授做讲解
何学中教授分享了一个高频交易中内生的流动性供给的微观模型（A Microstructure Model of High-frequency Endogenous Liquidity Provision）以解释当市场的不确定性激增时，在平稳时期所创造的充足流动性会迅速蒸发和消失。研究指出，高频交易者凭借其交易速度和订单流信息的优势，在大多数时间可以提供流动性，然而在市场动荡期间，不确定性的增加将迫使高频交易者停止中介活动，转而要求流动性。这种内生的流动性错配将使得标的资产流动性不足。研究发现，随着市场中高频交易者的信息和速度优势的增加，市场流动性可以得到改善。
现场热烈讨论
本次论坛中，何学中教授和现场师生进行了热烈的交流，学生们认真听讲，表示在本次讲座中受益匪浅。
主讲人简介
Xuezhong (Tony) He. Tony He has been a Professor in Finance at University of Technology Sydney (UTS) since 2010. He has been a co-editor of Journal of Economic Dynamics and Control (an ABDC A* journal) since 2013. Prof. Tony He received his PhD in Finance in 2010 from UTS and PhD in Applied Mathematics in 1995 from Flinders University, the two fundamental disciplines that underpin his areas of teaching and research. Tony is an internationally recognized expert in asset pricing, financial market modelling, market microstructure, and nonlinear dynamics in finance and economics. His research interests cover a broad area of theoretical asset pricing and financial market modelling with heterogeneous beliefs, asymmetric information, adaptive learning, social interaction, and empirical testing on various financial market anomalies and stylized facts such as volatility clustering, profitability of optimal trading, and return predictability. He also works on profitability, return predictability, market sentiment, and high frequency trading and learning in limit order markets. His international research profile is attested by his more than 50 publications in the field of finance and economics, invited contributions to the prestigious Handbook of Financial Markets and Handbook of Computational Economics, numerous keynote talks in the international conferences, and a number of competitively national and international research grants. As a mathematician in his earlier career, Tony has established an international reputation in the field of the theory and application of nonlinear dynamical systems and published more than 40 papers in this area. He has organized and served as committee member of international workshops and conferences, been keynote speaker in international conferences. He has also served as associate editor of a number of journals in finance, economics and mathematics.
