Insider Trading with a Random Deadline
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Date: 04-14-2009
Start Time:
1:00pm
End Time: 2:00pm
Speaker: Rene Caldentey, Stern School of Business: New York University
Location: Uris 333
ABSTRACT
This paper studies a model of strategic trading with asymmetric information of an asset whose value follows a Brownian motion. An insider continuously observes a signal that tracks the evolution of the asset's fundamental value. The value of the asset is publicly revealed at a random time. The equilibrium has two regimes separated by an endogenously determined time T. In [0,T), the insider gradually transfers her information to the market. By time T all her information has been transferred and the price agrees with the market value of the asset. In the interval [T, infinity), the insider trades large volumes and reveals her information immediately, so market prices track the market value perfectly. Despite this market efficiency, the insider is able to collect strictly positive rents after T.
(Joint work with Ennio Stacchetti, Department of Economics, NYU)
BIO
René Caldentey is an Associate Professor of Operations Management at New York University Stern School of Business. His primary research interests include stochastic modeling with applications to revenue and retail management, queueing theory, and finance. He has been published in numerous journals including Management Science, Mathematics of Operations Research, M&SOM, Operations Research and Queueing Systems. He is Associate Editor of M&SOM and Senior Editor of POM. Before joining NYU Stern, Professor Caldentey worked for the Chilean Central Bank and taught at the University of Chile.
Professor Caldentey received his Master of Arts in Civil Industrial Engineering from the University of Chile and his Doctor of Philosophy in Operations Management from MIT.