【金融高端论坛】 第一百零八期

主 题：The Microstructure of Endogenous Liquidity Provision

主讲人: Xuezhong (Tony) He 悉尼科技大学商学院金融学教授

时 间：2019-11-29 10:00

地 点：明德主楼A0515教室

Abstract：

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.

Keywords: endogenous liquidity provision, fragile liquidity, machine learning

BIO:

Xuezhong (Tony) He 教授现为悉尼科技大学商学院（ UTS Business School ）金融学教授，担任国际知名期刊Journal of Economic Dynamics & Control的主编（Co-Editor）。主要研究领域包括基于异质信念的资产定价、金融市场建模与有限理性、市场微观结构以及非线性经济动力学等领域。他在Journal of Economic Dynamics &Control、Journal of Economic Behavior and Organization 、European Journal of Finance 、SIAM 、Journal of Evolutionary Economics和Quantitative Finance等国际主流学术期刊上发表文章50多篇，撰写Handbook of Financial Markets: Dynamics and Evolution（Elsevier）、Handbook on Information Technology in Finance（Springer）等10余部学术书籍的部分章节。此外， He教授还担任Journal of Economic Interaction and Coordination、Journal Differential Equations and Dynamical Systems 和Discrete Dynamics in Nature and Society 等多本国际学术期刊的副主编（Associate Editor）。