Journal of Systems Science and Complexity

, Volume 31, Issue 5, pp 1302–1328 | Cite as

Sequential Fair Stackelberg Equilibria of Linear Strategies in Risk-Seeking Insider Trading

  • Fuzhou Gong
  • Yonghui ZhouEmail author


This paper develops a sequential fair Stackelberg auction model in which each of the two risk-seeking insiders has an equal chance to be a leader or follower at each auction stage. The authors establish the existence, uniqueness of sequential fair Stackelberg equilibria (in short, FSE) when both insiders adopt linear strategies, and find that at the sequential equilibria such two insiders compete aggressively that cause the liquidity of market to drop, the information to be revealed and the profit to go down very rapidly while the trading intensity goes substantially high. Furthermore, the authors also give continuous versions of corresponding parameters in the sequential FSE in closed forms, as the time interval between auctions approaches to zero. It shows that such parameters go down or up approximately exponentially and all of the liquidity of market, information and profit become zero while the trading intensity goes to infinity. Some numerical simulations about the sequential FSE are also illustrated.


Continuous version insider trading risk-seeking sequential fair Stackelberg equilibria 


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Copyright information

© Institute of Systems Science, Academy of Mathematics and Systems Science, CAS and Springer-Verlag GmbH Germany, part of Springer Nature 2018

Authors and Affiliations

  1. 1.Academy of Mathematics and Systems ScienceChinese Academy of SciencesBeijingChina
  2. 2.Guizhou Normal UniversityGuizhouChina

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