北京科学与工程计算研究院学术报告之五十五

报告人/Speaker: Donglei Du, University of New Brunswick


报告题目/Title: A Stackelberg Order Execution Game


时间/Date & Time: June 3, 2018, 8:30—9:30


地点/Venue:北京科学与工程计算研究院M842报告厅


报告摘要/Abstract

We consider a sequential order execution differentialgame 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 maximizetheir expected trading payoffs respectively by trading the same risky assetwhose price dynamic follows the well-known stochastic linear-price marketimpact model of Bertsimas and Lo (1998 and Almgren and Chriss (2001). We derivea closed-form solution for the unique open-loop Stackelberg equilibrium. Wethen develop new and complementary managerial insights by looking at theequilibrium behavior in terms of trading rates, positions, price dynamics,first mover's advantage, and trading horizon effect. We also emphasize keydifferences between our sequential game and the aforementioned simultaneousNash game along the way.


报告人简介/About the speaker:

Dr. Donglei Du, currently serving as the AssociateDean—Research & Graduate Studies, is a professor in Operations Research atthe Faculty of Business Administration (FBA), University of New Brunswick(UNB), Canada. His main research interests are quantitative investmentmanagement, combinatorial optimization, approximations algorithms, robustoptimization, social network analysis, algorithmic game theory, supply chainmanagement, facility location, and machine scheduling. His publications haveappeared 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 UNBat both the university and faculty levels, including the University ResearchScholar (UNB, 2014), University Merit Award (UNB, twice, 2006 and 2012),Excellence in Research Award (FBA, 2007), and Annual Research Award (FBA,2004).