报告题目：The Microstructure of Endogenous Liquidity Provision
主讲人：Xuezhong (Tony) He，University of Technology Sydney (UTS)
We propose a nonlinear rational expectations equilibrium model of high-frequency endogenous liquidity provision to explore fragile liquidity. With fast trading speed and private information, high-frequency traders can either compete with designated market makers (DMMs) by providing liquidity or attempt to profit from speculative trades that consume liquidity. The risk from this endogenous liquidity provision, coupled with limits to participation by DMMs, intensifies the adverse selection faced by DMMs. This can generate a gap between liquidity supply from DMMs and liquidity demand by informed traders. As a result, endogenous liquidity provision produces fragile liquidity, with the possibility of market breaks when high-frequency traders switch from liquidity provision to liquidity consumption on the basis of unexpected information signals.
Tony He has been a Professor in Finance at University of Technology Sydney (UTS) since 2010. He has been a co-editor of Journal of Economic Dynamics and Control (an ABDC A* journal) since 2013.
Prof. Tony He received his PhD in Finance in 2010 from UTS and PhD in Applied Mathematics in 1995 from Flinders University, the two fundamental disciplines that underpin his areas of teaching and research.
Tony is an internationally recognized expert in asset pricing, financial market modelling, market microstructure, and nonlinear dynamics in finance and economics. His international research profile is attested by his publications in the field of finance and economics, invited contributions to the prestigious Handbook of Financial Markets and Handbook of Computational Economics, numerous keynote talks in the international conferences, and a number of competitively national and international research grants.