Summer School Info

Our proposed schedule for the summer school is as follows.

Nash Equilibria by Kasper Larsen (Rutgers)

We will introduce the concept of Nash equilibria in the model of Grossman and Stiglitz (American Economic Review, 1980). We will compare the model with price impact to its fully competitive cousin.

Asymmetric Information in Kyle Models by Jin Choi (Ulsan National Institute of Science and Technology, Korea)

Kyle models describe insider trading in equilibrium framework, and play important roles in market microstructure theory. I will review Kyle's original model in discrete & continuous time. I will also review the paper by Anderson and Smith (2013, AER), and demonstrate how the framework of Kyle model can be connected to attacker-defender game with asymmetric information structure. Finally, I will sketch my recent result on Kyle type model with optimal stopping feature.

Introduction of Radner Equilibria by Kim Weston (Rutgers)

This course will be a primer for competitive, or Radner, equilibria. We will discuss the foundation of equilibrium problems including supply and demand, real and financial goods, the individual agent problems, and clearing conditions. A finite number of economic agents receive endowments, trade in a financial market, and consume with the goal of maximizing their utility from consumption. The prices of securities in the market are determined by equating the supply of goods in the economy to the agents' aggregate demand. Solving for equilibrium prices and agents' optimal strategies corresponds to solving a fixed-point problem, which is finite-dimensional in complete settings and infinite-dimensional in incomplete settings.

Equilibrium in the Presence of Asymmetric Information by Scott Robertson (Boston University)

We will start by reviewing the seminal papers of Grossman (1976, 1978), which considered a one period model where a collection of insiders each receive their own noisy signal about the terminal asset payoff. With this information, as well as a to-be-determined collective, or market, information set, they solve their respective individual optimization problems. In equilibrium, it is shown that the time zero price communicates the average of the insiders' signals. After this basic result, we will go over the papers of Hellwig (1980); Admati (1985); Brennan and Cao (1996); and Breon-Drish (2015), which extend the basic idea (in discrete time) in multiple directions. Time permitting, we will talk about how to attack this problem in continuous time, where the filtration enlargements, measurability issues, and preservation of market completeness, are significantly more involved.