报 告 人：张丽宏 教授，清华大学 经济管理学院
报告时间：2024.03.11(周一) 9:30-10:30
报告地点：金融中心105报告厅
报告摘要：
The widespread adoption of information technology has fundamentally transformed the way information is processed in the financial market. One such technological advancement is algorithm trading, which allows traders to develop sophisticated strategies based on historical price data. This raises important questions: Do these algorithm trading strategies contribute to market instability? When do they yield profits for different market participants? To address these questions, we must move beyond the efficient market hypothesis, as this theory would suggest that such strategies yield no profit due to market efficiency. Instead, we explicitly incorporate initial market mispricing into our analysis and develop a stylized continuous-time model of algorithm feedback trading to
investigate market outcomes. Our model yields closed-form solutions, enabling us to assess the degree to which the price diverges from the efficient level. We discover that algorithmic trading, when combined with initial market mispricing, can lead to significant market volatility, resulting in financial bubbles and crashes. However, this scenario only occurs when there is overpricing and the algorithm traders collectively employ a strategy that enlarges the mispricing. Depending on the initial mispricing in the form of underpricing or overpricing, different algorithm trading strategies (positive or negative) have different market impact, profitability, and policy implications.
报告人简介
张丽宏，于2001年加入清华，现任清华大学经济管理学院教授。 1988年，毕业于南开大学，获得概率统计专业学士学位。1991年，获得该校概率统计专业的硕士学位。1999年，在中国科学院应用数学所取得了概率统计专业的博士学位。1999至2001年，在北京大学数学学院做博士后。
张丽宏教授主要研究的领域是：金融经济学、随机过程、风险理论及风险管理。张丽宏教授主要负责的项目有：国家自然科学基金委员会的“经济环境中的风险理论”的项目负责人。国家自然科学基金委员会的“保险公司的投资组合问题的研究”的项目负责人。教育部的“2007年度教育部新世纪优秀人才支持计划”的项目负责人。国家重点基础研究发展计划（973 计划）的“金融创新产品的设计与定价”项目的项目骨干。国家自然科学基金委员会“股票的个体波动及其收益”的项目负责人。
张丽宏教授的论文曾在Insurance: Mathematics and Economics, North American Actuarial Journal, Journal of Industrial and Management Optimization, International Journal of Statistics and System, Statistics and Finance: an Interface等国际著名期刊杂志上发表。 2007年，张丽宏教授入选中国教育部新世纪优秀人才支持计划。2008年，她负责的项目“经济环境的风险理论”，获得了中国国家自然科学基金的优秀奖。
