DSP seminar, Wed Mar. 29 Time and location: 4:00-5:00 PM 2269 Beckman Institute

Title: The dynamics of strategic information flows in stock markets
		(joint with P. Seiler)

Speaker: Bart M Taub

Professor, Economics Department - UIUC


Abstract:

We develop a model of the dynamics of information flows in multi-asset stock markets, 
in which individual speculators have private information about the true values of the 
assets they trade. The speculators strategically take account of the heterogeneously 
informed rivals, and this affects the speed with which their private information is 
embodied in asset prices. We show how information about one stock dynamically diffuses 
into information about all stocks.
Traders; optimal strategies are the solutions of variational problems with a choice 
set in H2; the solution is found by simultaneously solving a set of Wiener-Hopf equations.
Equilibrium prices are the fixed point of a mapping of H2 functions, the existence 
of which is established by characterizing the norm of the mapping. The fixed point 
has the interesting property that it cannot be characterized by a finite set of poles 
due to the strategic interaction of the traders.


Biography: 

Bart Taub is a professor in the economics department at UIUC, where he has been on the 
faculty since 1989.  He received his PhD from the University of Chicago.  He is a past 
recipient of a Guggenheim fellowship, as well as NSF research grants.  His research 
interests center on macroeconomic theory, particularly as it relates to information 
transmission and commitment in the presence of incentives.