Faculty of Business Administration
Business Economics
Smooth Liquidity Trading, Super Impatient
Speculator, and Price SpikesProf. Ming GUO
Associate Professor
School of Entrepreneurship and Management
ShanghaiTech University, China


We analyze an intertemporal strategic trading model in which a monopolistic speculator exploits his information advantages regarding the fundamentals and smooth liquidity trading. As the trading interval goes to zero, a unique limiting equilibrium is obtained. The speculator is super impatient. Following a negative persistent liquidity shock, first the stock price either rises or falls rapidly (similar to a negative price spike), with a duration roughly proportional to the trading interval. Then the price rises slowly. Fast execution of liquidity orders can lead to price spikes, whereby the speculator tends to destabilize the price initially.

Date: 5 October, 2016 (Wednesday)
Time: 15:00~16:30
Venue: Faculty of Business Administration, E22-2007

A Short Biography of Prof. Ming GUO
Prof. Ming Guo is currently an associate professor at the School of Entrepreneurship and Management, ShanghaiTech University. Prior to joining the faculty at ShanghaiTech, he has been an assistant professor of Finance at Beijing University (HSBC School of Business, 2007-2010) and at Shanghai Advanced Institute of Finance (SAIF)(2010-2015). He served as a Quantitative Researcher at Citadel Investment Group from 2005 to 2007. Prof. Guo received his Ph.D. in Economics from Duke University in 2005, M.S. in Economics from China Center for Economic Research, Beijing University, in 2000,and B.S. in Mathematics from Beijing University in 1997.
Prof. Guo’s research focuses on asset pricing, market microstructure and empirical finance. He has published in leading finance journals, including Review of Financial Studies, Journal of Banking and Finance, Journal of Economic Theory, etc. His research has won different awards including Xia Best Paper Awards, 2010, China International Conference in Finance and GTA Prize for the excellent paper, China Finance Review International Conference.