讲座题目：A Stackelberg Order Execution Game

主讲人：加拿大纽布伦斯威克大学（University of New Brunswick）杜东雷教授

讲座时间：2018年6月7日（周四）13:30-15:30

讲座地点：002白菜资讯网址6号楼402

主办单位：002cc白菜资讯

摘要：

We consider a sequential order execution differential game over a finite time horizon in the Stackelberg duopoly framework, complementing the simultaneous Nash game investigated by Carlin et al. (2007). There are one risk-neutral leader and one risk-neutral follower who maximize their expected trading payoffs respectively by trading the same risky asset whose price dynamic follows the well-known stochastic linear-price market impact model of Bertsimas and Lo (1998 and Almgren and Chriss (2001). We derive a closed-form solution for the unique open-loop Stackelberg equilibrium. We then develop new and complementary managerial insights by looking at the equilibrium behavior in terms of trading rates, positions, price dynamics, first mover's advantage, and trading horizon effect. We also emphasize key differences between our sequential game and the aforementioned simultaneous Nash game along the way.

主讲人简介：

杜东雷教授，现任加拿大新布朗什维克大学工商管理学院副经理（分管科研及研究生），从事运筹学研究。其主要研究兴趣为组合优化，鲁棒优化，近似算法，社会网络分析，算法博弈论，供应链管理，选址问题及排序理论。其科研成果发表在诸多国际一流学术期刊上，如Operations Research, Algorithmica, SIAM Journal on Discrete Mathematics, European Journal of Operation Research, Omega等。并多次获得所在学校及学院的奖励，包括University Research Scholar (校级, 2014), University Merit Award (校级, twice, 2006 and 2012), Excellence in Research Award (院级,2007), and Annual Research Award (院级，2004). 2012-2015被聘为北京事海聚工程特聘教授。

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