具有内部交易的多头交易博弈模型

发布时间：2018-01-03 02:39

本文关键词：具有内部交易的多头交易博弈模型　出处：《长沙理工大学》2013年硕士论文　论文类型：学位论文

【摘要】：在金融资产交易活动中,某些交易者利用在资产价值(特别是私人信息)信息上具有的优势,进行资产交易行为的问题称为内部交易问题。自从Kyle于1985年提出关于内部交易的模型后,引发了国内外众多专家、学者的研究,取得一系列的丰富成果,当前,内部交易问题是金融资产交易市场中一个研究热点。在借鉴和参考国内外众多学者在内部交易者行为分析方面的研究文献的基础上,本论文的论述和主要研究内容如下： 1.论述具有内部交易问题的研究背景及意义,对国内外关于内部交易方面的研究文献进行了归纳与评述。 2.对与内部交易问题的相关概念、理论基础及经典模型进行了阐述、概括、分析。 3.针对资产交易市场中各参与者拥有资产价值的信息量不同的情况,根据纳什均衡理论、仿射理论及随机分析理论,分别探讨、建立了具有内部交易的单期交易和多期交易市场的一种新的均衡模型,并得到了单期交易和两期交易模型的线性均衡解。 4.在单期交易的线性均衡市场中,对市场深度、均衡价格信息及各交易者的均衡收益等进行了分析,并得出结论：公共信息或局部共享信息越积极释放,越有利于外部交易者和噪声交易者,却不利于内部交易者操纵交易市场。因此,公共信息的存在对市场稳定和发展具有重要意义。最后,对本文研究内容进行了总结,提出进一步对具有内部交易问题研究的工作。
[Abstract]:In financial asset trading, some traders take advantage of information about the value of assets (especially private information). Since Kyle put forward the model of internal transaction in 1985, it has aroused the research of many experts and scholars at home and abroad. A series of rich achievements have been made. At present, the problem of internal trading is a hot research topic in the financial asset trading market. On the basis of the reference and reference of many scholars at home and abroad in the field of internal trader behavior analysis, the main contents of this thesis are as follows: 1. The research background and significance of internal transaction are discussed, and the domestic and foreign literatures on internal transaction are summarized and reviewed. 2. Expatiate, generalize and analyze the related concepts, theoretical basis and classical model of internal transaction problem. 3. According to the different information content of each participant in the asset trading market, according to Nash equilibrium theory, affine theory and stochastic analysis theory, respectively. In this paper, a new equilibrium model for single-period and multi-period trading markets with internal transactions is established, and the linear equilibrium solutions of single-period and two-period trading models are obtained. 4. In the linear equilibrium market of single period trading, the depth of the market, the equilibrium price information and the equilibrium income of each trader are analyzed, and the conclusion is drawn: the more active release of public information or local shared information. The more favorable to external traders and noise traders, but not conducive to the internal traders to manipulate the trading market, therefore, the existence of public information is of great significance to the stability and development of the market. Finally, the research content is summarized, and further research work on internal transaction problem is put forward.
【学位授予单位】：长沙理工大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F830.91;F224.32

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