Dynamic Trading and Inference in Non-Markovian Equilibria by Ji Hee Yoon

Join us for another event in the Microeconomics Research Seminar Series, Autumn Term 2023.

Ji Hee Yoon, from the Department of Economics at University College London, will present their research on Dynamic Trading and Inference in Non-Markovian Equilibria. 

Abstract

We analyze dynamic imperfectly competitive markets based on Cournot competition among traders who have private information. The model accommodates heterogeneity in traders' risk preferences and general interdependence in traders' valuations. Equilibrium strategies in any round depend on the entire history of past prices. The price process is endogenously non-Markovian. In settings both Markovian and non-Markovian equilibria exist (namely, with symmetric traders), we show that the non-Markovian equilibrium is robust to in infinitesimal changes in preferences and shock distributions, while the Markovian equilibrium is not. We provide a recursive and a nonrecursive characterization of the non-Markovian equilibrium and discuss the advantages of each characterization.

This seminar will be held in the Economics Common Room on Monday 13 November 2023 at 3.30pm. This event is open to all levels of study and is also open to the public.

To register your place and gain access to the webinar, please contact the seminar organisers.

This event is part of the Microeconomics Research Seminar Series.