学术讲座：The Microstructure of Endogenous Liquidity Provision

金融学院SBF论坛2019年第36讲

讲座题目：The Microstructure of Endogenous Liquidity Provision

时间：2019年11月28日（周四），10:30-11:30

地点：博学楼925

主讲人：何学中教授（Xuezhong (Tony) He）

主讲人简介：何学中现为悉尼科技大学金融学教授，担任Journal of Economic Dynamics and Control主编，拥有数学与金融学双博士学位。何学中教授是资产定价、金融市场建模、市场微观结构、以及金融经济学中的非线性动态分析方面的全球知名学者。他的论文收录于金融经济学顶级期刊中，在多个国际会议中发表主旨演讲，并受邀撰写Handbook of Financial Markets和Handbook of Computational Economics其中的章节。

讲座内容简介：We propose a nonlinear rational expectations equilibrium model of high-frequency endogenous liquidity provision to explore fragile liquidity. With fast trading speed and private information, high-frequency traders can either compete with designated market makers (DMMs) by providing liquidity or attempt to profit from speculative trades that consume liquidity. The risk from this endogenous liquidity provision, coupled with limits to participation by DMMs, intensifies the adverse selection faced by DMMs. This can generate a gap between liquidity supply from DMMs and liquidity demand by informed traders. As a result, endogenous liquidity provision produces fragile liquidity, with the possibility of market breaks when high-frequency traders switch from liquidity provision to liquidity consumption on the basis of unexpected information signals.