题目：A Stackelberg Order Execution Game

时间：2018年6月26日（星期二）下午4：00-6:00

报告地点：西安交通大学财经校区教学楼八楼国际交流厅

报告摘要：

Abstract: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.

报告人简介：

杜东雷教授，现任加拿大新布朗什维克工商管理学院副院长（分管科研及研究生），从事运筹学研究。其主要研究兴趣为量化投资管理，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 被聘为北京市海聚工程特聘教授。2015-16 被聘为教科文卫高端外国专家。

Dr. Donglei Du, currently serving as the Associate Dean—Research & Graduate Studies, is a professor in Operations Research at the Faculty of Business Administration (FBA), University of New Brunswick (UNB), Canada. His main research interests are quantitative investment management, combinatorial optimization, approximations algorithms, robust optimization, social network analysis, algorithmic game theory, supply chain management, facility location, and machine scheduling. His publications have appeared in top-tier journals, including Operations Research, Algorithmica, SIAM Journal on Discrete Mathematics, European Journal of Operation Research, Omega etc. His academic achievement was recognized by several awards from UNB at both the university and faculty levels, including the University Research Scholar (UNB, 2014), University Merit Award (UNB, twice, 2006 and 2012), Excellence in Research Award (FBA, 2007), and Annual Research Award (FBA, 2004).

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2018年6月20日