2:00 - 5:00PM, July 14
Financial Market with Information Frictions
Professor Liyan Yang from University of Toronto
This short course summarizes some key contributions in the literature of asymmetric information in financial markets. The subject matter for the course will be mostly theoretical. The course consists of two parts, i.e., tools and applications. First, it overviews competitive rational expectation models and strategic market order models, which are the basic tools for analyzing various phenomena in modern financial markets. Second, the course provides a variety of applications of the theories discussed, such as insider trading, hedge/mutual funds, high-frequency trading, analysts, government intervention and regulations, disclosure, and the value and sales of data. The tools and insights developed in this course can be readily applied to understanding many recent phenomena arising in the emerging data economy.
9:00 - 12:00AM, July 15
Theoretical and Empirical Research on Market Crashes and Circuit Breakers
Professor Hui Chen from MIT
In this lecture, we will start by going over the theoretical framework of heterogeneous agent models, under both complete and incomplete markets. By extending this basic framework in different directions, one can capture a variety of institutional features and frictions that are relevant for the study of market and funding liquidity. As an in-depth example, we will cover my paper “The Dark Side of Circuit Breakers.” We will then go over a few recent empirical papers on market and funding liquidity, in particular the ones studying the Chinese stock market crash.
Prerequisites: The audience is expected to be familiar with the basic concepts in continuous time finance (specifically Brownian motion and Ito’s Lemma).
2:00 - 5:00PM, July 15
Credit Pricing and China's Bond Market
Professor Zhiguo He from the University of Chicago
In this three-hour lecture, we will first go over leading analytical frameworks for credit risk pricing. This include Merton’s model, Leland-type models, and various extensions incorporating market illiquidity. In the second part, we will offer an overview for the current development of Chinese bond market, and cover my recent working paper “Pledgeability and Asset Prices: Evidence from Chinese Bond Market” which utilize the unique institutional features of Chinese bond market to estimate the causal effect of asset pledgeability on asset prices.