基于异质投资信念的做市商动态定价策略研究

发布时间：2018-03-25 13:16

本文选题：做市商　切入点：定价策略　出处：《天津财经大学》2013年硕士论文

【摘要】：市场微观结构的核心在于交易机制的设计,这直接决定着证券市场的效率。而做市商交易机制作为市场微观结构的重要组成部分,在当今世界主要的发达资本市场中扮演着重要的角色。由于做市商交易机制有助于实现市场的高流动性、高稳定性以及价格发现等目标。因此,其已成为全球交易量最大的交易机制。然而正如Madhavan and Sofianos(1998)所言,做市商的报价策略不是十分明确。何种报价策略能够同时满足市场流动性的需求、价格稳定性的要求以及自身实现利益最大化的要求?做市商在报价过程中必须根据自身的责任与义务权衡利弊,从而找到一条合理的报价规则。论文研究了一个基于做市商交易机制的跨期资产定价模型,其中做市商用于市场出清并通过设定买卖报价来最大化自身财富效用,这有别于用于传统理论研究的瓦尔拉斯拍卖(Walras Auctioneer)交易机制以及之前的不涉及买卖双报价做市商市场模型。另外,主要考虑两种类型的有限理性投资者,即基本面投资者与趋势跟随者。通过异质投资者间以及与做市商的相互影响来体现市场关键特征。最终结果反映了确定性差分系统关键参数对于其稳定性的影响,并较为详实地描述了稳定区间；随机性系统的数值仿真结果反映出本模型可以模拟出诸如尖峰厚尾以及长记忆等实证特点。这些结果表明,在效用最大化的前提下,做市商审慎的定价策略不但可以为市场提供流动性,还可以保证价格的稳定性,引导市场价格趋于合理。
[Abstract]:The core of the market microstructure is the design of the trading mechanism, which directly determines the efficiency of the securities market. It plays an important role in the major developed capital markets in the world today. Since the market-maker trading mechanism contributes to the realization of the market's objectives of high liquidity, high stability and price discovery, It has become the world's largest trading mechanism by volume. However, as Madhavan and Sofianosi said in 1998, market-makers' pricing strategies are not very clear. The requirement of price stability and the requirement of maximizing profit? The market maker must weigh the advantages and disadvantages according to his own responsibility and obligation in order to find a reasonable quotation rule. This paper studies a cross-term asset pricing model based on the market maker trading mechanism, in which the market maker is used to clear the market and to maximize their wealth utility by setting the purchase and sale price. This is different from the Walras auction Walras Auctioneer-based trading mechanism used for traditional theoretical research and the previous market model for market makers not involved in buying and selling double quotes. In addition, two types of limited rational investors are considered. The key characteristics of the market are reflected by the interaction between heterogeneous investors and market makers. The final results reflect the influence of the key parameters of the deterministic difference system on its stability. The numerical simulation results of the stochastic system show that the model can simulate the empirical characteristics such as peak thick tail and long memory. These results show that, under the premise of maximizing utility, The marketer's prudent pricing strategy can not only provide liquidity for the market, but also ensure the stability of the price and lead the market price to be reasonable.
【学位授予单位】：天津财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F830.59;F224

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