现货金融衍生产品的理论基础与经济实践

发布时间：2018-06-17 07:29

本文选题：Kyle模型 + 定价策略　；参考：《西南财经大学》2013年硕士论文

【摘要】：世界范围内的金融危机引发的经济危机波及多国,影响深远。金融市场上的价格扭曲无疑加剧了危机的爆发速度和影响深度。金融市场的内部交易使得内部信息被滥用而扭曲了资产价格,改变了信息结构。本文先从理论的角度,运用KYLE模型分析内部交易者、做市商和一般噪声交易者对资产均衡价格的影响。在对基于Kyle模型的内部交易进行分析之后,本文对资产的收益分布的单期模型进行阐述,并对噪声交易者和内幕交易者以及做市商进行分析,给出逻辑性地定价和交易策略以及做市商的定价策略,给出求解的技术。然后分析金融衍生品市场中的内部交易,考察国债期货的失败教训中内部交易所起到的推波助澜的作用。大量的实证研究表明,投资者并不总是具有理性的认知进行决策,有限理性的交易者可能给金融衍生品市场带来致命的伤害。最后给出实际案例,并分析相关的影响因素。
[Abstract]:The world-wide financial crisis triggered by the economic crisis affected many countries, far-reaching impact. Price distortions in financial markets undoubtedly exacerbated the speed and depth of the crisis. The internal transaction of financial market causes the abuse of internal information and distorts the asset price and changes the information structure. In this paper, we use KYLE model to analyze the influence of internal traders, market makers and general noise traders on the equilibrium price of assets from a theoretical point of view. After analyzing the internal trading based on Kyle's model, this paper expounds the single-period model of asset income distribution, and analyzes the noise traders, insider traders and market makers. The logical pricing and trading strategies and market makers' pricing strategies are given, and the solving techniques are given. Then it analyzes the internal trading in the financial derivatives market and examines the role played by the internal exchange in the failure of treasury bond futures. A large number of empirical studies show that investors do not always have rational cognition to make decisions, and that limited rational traders may bring fatal harm to the financial derivatives market. Finally, an actual case is given, and related factors are analyzed.
【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F830.9;F224

【参考文献】