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(5-8AM10:50)岭南学术论坛-金融学系列Seminar

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报告题目:A Model of Financial Market with Imperfections

报 告 人:张丽宏(清华大学经管学院 教授)

时      间:2017年5月8日(周一)上午10:50-11:50 

地      点:岭南堂汪道涵会议室

语      言:英文+中文

 

摘要:

Imperfections exist in financial markets. Assuming the existence of some market imperfections, we study market outcomes with a continuous-time model of feedback trading. Without using arguments involving cognitive biases, the model allows us to examine the extent to which the market price deviates from the fundamental. Depending on the initial market imperfection in the form of under- or over-pricing, different feedback strategies may have very different impacts on insiders' profit, market depth, and instantaneous returns and volatilities. The model is able to endogenously generate bubbles and crashes and offers new insights on the relation between idiosyncratic volatility and returns.

 

报告人简介:

Lihong Zhang is a professor of Finance in the School of Economics and Management at Tsinghua University. She holds a Ph.D. in Probability and Mathematical Statistics from the Institute of Applied Mathematics, Academy of Mathematics and System Sciences, Chinese Academy of Science, and an M.S. in Probability and Mathematical Statistics and a B.S. in Probability and Mathematical Statistics from Nankai University. Before joining Tsinghua University, she conducted postdoctoral research in the School of Mathematical Science at Peking University.  Lihong’s research interests are on issues related to financial economics, stochastic calculus and its applications, actuarial science, and risk management. Her research has appeared in MIS Quarterly and Insurance: Mathematics and Economics.

 

 

 

 

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