主讲人：何学中教授（悉尼科技大学）

讲座时间：2018年11月27日（周二）上午10:00开始

讲座地点：yh86银河国际南校区院系办公楼401（yh86银河国际会议室）

题目：The Microstructure of Endogenous Liquidity Provision

主办单位：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”

摘要:

We build a microstructure model of high-frequency endogenous liquidity provision to explain that the creation of abundant liquidity in quiet times can evaporate and vanish quickly when market uncertainty spikes. With the advantages in trading speed and order flow information, high-frequency traders provide liquidity most of the time, improving liquidity and stabilizing the market. On the one hand, this expends the liquidity demand from informed trader due to improving liquidity; on the other hand, it shrinks liquidity provision from designated market maker (DMM) due to intensified adverse selection cost. During the quiet time, the top residual tranche liquidity from high frequency liquidity provision dominates the decreasing bottom tranche of DMM’s liquidity; improving the overall liquidity. However, during market turbulence, a rise in uncertainty raises market making cost, forcing the high-frequency traders to cease intermediation activity and switch to demanding liquidity. Therefore, such endogenous absence in liquidity provision from high frequency trader exposes liquidity mismatch, leading to illiquidity in the underlying asset and amplifying the liquidity mismatching significantly. In contrast to most of the existing literature, we show that liquidity can actually be improved with increasing both high-frequency traders’ information and speed advantage.

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.