Speaker: Liwei Huang, MFM Alumnus, AIM Ph.D. University of Michigan
Abstract: In this talk, we present a trading game involving strategic liquidity providers under different inventory risks aversion. The liquidity providers compete to supply liquidity to a risk-averse agent who is privately informed about the final value of asset and her own initial endowment. We show that there exists a unique asymmetric Nash equilibrium with convex schedules, and it can be characterized by the solution of the system of quasimonotone ODEs. This is based on a joint ongoing work with Ibrahim Ekren.
Bio: Liwei Huang holds an undergraduate degree in financial mathematics from Henan University of Economics and Law. He further pursued his education at the University of Minnesota, where he completed his Master’s of Financial Mathematics (MFM) in Spring 2020. Liwei has since continued to advance his academic journey and is currently an Applied and Interdisciplinary Mathematics (AIM) PhD student within the Mathematics Department at the University of Michigan. His research primarily focuses on dynamic principal-agency models and Stackelberg Equilibrium.
Via Zoom: https://umn.zoom.us/j/99258642870