讲座人简介：

刘红，东北师范大学英国威廉希尔公司官网副教授，博士生导师。2008年博士毕业于中国科学院数学与系统科学研究院，师从巩馥洲研究员。主要研究方向为随机过程、随机分析及其在金融与经济中的应用。主持国家自然科学基金面上项目、国家自然科学基金青年基金与天元基金项目各一项。在Automatica, International Review of Economics and Finance，Economic Modelling，North American Journal of Economics and Finance等国际SSCI与SCI杂志上发表论文多篇。

讲座简介：

      This paper examines the impact of public disclosure and partially informed outsiders on a risk-averse insider’s trading behaviour, market efficiency, market depth, etc. In our model, under the disclosure requirement except for the last auction, the market depth is the same at every auction. When informed outsiders are risk-neutral, in contrast to the case of a risk-averse insider with no informed outsiders, the insider is more concerned about the uncertain future price risk. When the number of informed outsiders increases, the market liquidity goes up, and the insider increases the variance of her random component to hide her trading strategy. However, since the insider is relatively more risk-averse, she pays less attention to doing this on her own. Besides, the order flow provided by informed outsiders and randomly added by the insider injects additional liquidity to the market. When informed outsiders are risk-averse, compared to risk-neutral informed outsiders, an insider is most concerned about trading risks brought by informed outsiders at the beginning of trading. Furthermore, whatever the trader is insider or informed outsider, the more risk-averse trader has the lower expected profits. Moreover, the greater risk aversion of outsiders leads to the smaller depth of the market.