[ABE-L] Ciclo de Palestras - PPGE-IM/UFRJ - 11 de JUNHO

[Maria Eulalia Vares]

Prezados colega,


A nossa próxima palestra ocorrerá quarta-feira, 11 de JUNHO, no horário das
15h30 às 17h00, Local: Laboratório de Sistemas Estocásticos (LSE), Sala
I-044-B, Centro de Tecnologia - UFRJ.

*Palestrante:* Eduardo Ferioli Gomes (UFF)

*Título*: Kyle-Back Model with Dynamic Public Signal: Basic Model and
Applications

*Resumo*: We developed a basic framework that is version of the Kyle-Back
modified to include a public signal As usual in the literature, the insider
receives a private signal that in our case may be either static, when the
insider knows the value of the asset throughout the trading period, or
dynamic, when they receive a signal that converges to the final value of
the asset. The public signal, that is a Markov Bridge converging to the
same condition as the private signal, is observed by both the insider and
the market maker that use that information to form their respective
valuations. We show the existence of equilibrium in this model and explore
the characteristics of it. Furthermore, in this talk we present the ongoing
developments of this research agenda considering two applications that use
the mentioned model as framework. The  first one is regarding Market
Fragmentation where the public signal is the shadow price of an asset and
the private signal is obtained by an insider that is a high-frequency
trader that is able to operate in possibly highly correlated markets. The
second application is regarding the possibility of competing insiders. Now
the public signal is also a shadow price, but we consider a setting with
many insiders each one with a different information flow and their
interaction forms the price process. This is a joint work with Umut Çetin
(LSE).

Mais informações:
https://ppge.im.ufrj.br/ciclo-de-palestras-primeiro-semestre-de-2025/
<https://ppge.im.ufrj.br/ciclo-de-palestras-segundo-semestre-de-2025/>

Organizadores: Maria Eulalia Vares e Widemberg S Nobre

Atenciosamente,

Eulalia

-- 
Maria Eulalia Vares
Professora Titular - Instituto de Matemática - UFRJ
Coordenadora do Programa de Pós-Graduação em Estatística
https://ppge.im.ufrj.br/
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