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04 第四届中国运筹青年论坛 | 邀请报告

A Stackelberg Order Execution Game

杜东雷 加拿大新布朗什维克工商管理学院

Abstract: We study a sequential order execution differential game over a finite time horizon in the

Stackelberg duopoly framework, in contrast to the simultaneous Nash game investigated by Carlin

et al. (2007). In our game, there are two players, one leader and one follower, who maximize their

expected trading payoffs respectively by trading a single risky asset whose price dynamics follows

the linear-price market impact model of Almgren and Chriss (2001). We derive a closed-form

solution for the unique open-loop Stackelberg equilibrium, allowing us to develop new and

complementary managerial insights by looking at both players' equilibrium behavior in terms of

trading speeds, inventory positions, price dynamics, and first mover's advantage. We also quantify
different behavioral metrics of the same players under our sequential game and the aforementioned

simultaneous Nash game of Carlin et al. (2007).

Biodata: 现任加拿大新布朗什维克工商管理学院副院长（分管科研及研究生），从事运筹学

研究。其主要研究兴趣为量化投资管理，组合优化，鲁棒优化，近似算法，社会网络分析，
算法博弈论，供应链管理，选址问题及排序理论。其科研成果发表在诸多国际一流学术期刊

上，如 Operations Research, Algorithmica, SIAM Journal on Discrete Mathematics, European
Journal of Operation Research, Omega 等。并多次获得所在学校及学院的奖励，包括 University

Research Scholar (校级, 2014), University Merit Award (校级, twice, 2006 and 2012), Excellence

in Research Award (院级, 2007), and Annual Research Award (院级，2004).