
There is a special conference honoring Prof. Suresh Sethi’s 80th birthday
September 26-28, 2025 at the Jindal School of Management of UT Dallas (USA).
Additional information about the conference is available at https://utd-om.org .
There is a special conference honoring Prof. Suresh Sethi’s 80th birthday
September 26-28, 2025 at the Jindal School of Management of UT Dallas (USA).
Additional information about the conference is available at https://utd-om.org .
Sebastian Jaimungal
University of Toronto,
Canada
Broker-Trader Partial Information Nash-Equilibria
May 22, 2025 03:00 PM — 04:00 PM (Montreal time)
Hybrid seminar at GERAD joint with Quantact. Zoom webinar link
In Person: room 4488
Pavillon André-Aisenstadt
Campus de l’Université de Montréal
2920, chemin de la Tour Montréal Québec H3T 1J4
Canada
We study partial information Nash equilibrium between a broker and an informed trader. In this model, the informed trader, who possesses knowledge of a trading signal, trades multiple assets with the broker in a dealer market. Simultaneously, the broker trades these assets in a lit exchange where their actions impact the asset prices. The broker, however, only observes aggregate prices and cannot distinguish between underlying trends and volatility. Both the broker and the informed trader aim to maximize their penalizedexpected wealth. Using convex analysis, we characterize the Nash equilibrium and demonstrate its existence and uniqueness. Furthermore, we establish that this equilibrium corresponds to the solution of a nonstandard system of forward-backward stochastic differential equations (FBSDEs) that involves the two differing filtrations. For short enough time horizons, we prove that the solution of this system exists. Moreover, we show that the solution to the FBSDE system may be approximated by a power series in the strength of the transient impact to arbitrary order and prove that the error is controlled. If time permits, I will also discuss a new deep learning approach for approximating the solution to the system of FBSDEs.
Dena Firoozi organizer
You are kindly invited to participate in the Fourth Workshop on Dynamic Games and Applications, to be held in Paris on October 23-24, 2025.
The deadline for abstract submission is August 20.
Additional information about the Workshop is available at https://www.gerad.ca/colloques/Workshop-DGA-2025/index.html
Looking forward to welcoming you in Paris.
The organizers
Bertrand Crettez, CRED, Université Paris-Panthéon-Assas,
Naila Hayek, CRED, Université Paris-Panthéon-Assas,
Nikolaos Pnevmatikos, LEMMA, Université Paris-Panthéon-Assas,
Georges Zaccour, GERAD, HEC Montréal