Economics Research Seminar Series: Shino Takayama

Shino Takayama (University of Queensland) will present his paper "Manipulation, Dynamic Informed Trading, and the Uniqueness of Equilibrium in Securities Markets" at  the Economics Research Seminar Series.

Abstract:

"This paper studies the manipulation of prices by using a dynamic version of the Glosten and Milgrom (1985) model with a long-lived informed trader. We make a fundamental contribution by clarifying the conditions under which a unique equilibrium exists, and in what situations this equilibrium involves manipulation of prices by the informed trader. Furthermore, within the unique equilibrium, we characterize bid–ask spreads and show that bid and ask prices are monotonically increasing in the market maker’s prior belief. Finally, we propose a computational method to find equilibria in the model. Our simulation results confirm our theoretical findings and find multiple equilibria in some cases."

 

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