具有私人信息的多头交易动态博弈研究

发布时间：2018-03-06 09:19

  本文选题：内部交易　切入点：不完全信息　出处：《长沙理工大学》2014年硕士论文　论文类型：学位论文

【摘要】：在金融资产交易市场中,存在一些交易者利用所知道的资产价值方面信息,进行资产交易行为,此类问题被称为内部交易问题。自从Kyle于1985年提出关于内部交易的模型后,就引起了国内外许多专家、学者关于这方面的高度关注及研究热情,并取得许多研究成果,当前,关于金融资产交易行为研究的热点之一是内部交易问题。在借鉴和参考国内许众关于内部交易问题的研究文献基础上,本论文的主要研究工作如下：1.论述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.在对Kyle(1985)模型(内部交易问题的经典模型)中线性均衡假设修正的基础之上,针对内部交易者不完全知道资产价值的所有信息情况,根据纳什均衡理论、仿射理论及随机分析理论,分别讨论、建立了两期内部交易动态博弈的3个新的均衡模型(模型1：风险厌恶型均衡模型；模型2：风险喜好型均衡模型；模型3：风险中性型均衡模),并求出了这3个均衡模型的子博弈纳什均衡解。4.对具有不完全信息的两期交易的均衡市场,分析了资产价值不完信息(1,+s)的中噪声ε的波动程度(σε2),对市场深度、内部交易者的交易量和市场交易总量、资产交易均衡价格的剩余信息及风险厌恶内部交易者收益的影响力,并得出结论：噪音对市场干扰程度愈小(σε2愈小),就愈有利于内部交易者(具有不完全信息)的收益；内部交易者的交易就愈活跃；交易均衡价格包含资产价值信息就愈多。最后,对本文研究内容进行了总结,并对内部交易问题的末来研究工作进行了展望。
[Abstract]:In the financial asset trading market, there are some traders who make use of known asset value information to conduct asset transactions, which are called internal trading problems. Since Kyle put forward the model of internal trading in 1985, It has aroused great concern and enthusiasm among many experts and scholars at home and abroad, and has made many research achievements. At present, One of the hotspots of the research on the behavior of financial asset trading is the issue of internal trading. The main research work of this thesis is as follows: 1.Discusses the research background and significance of the internal transaction problem, summarizes and comments the domestic and foreign research literature on the internal transaction. The theoretical basis and classical model are expounded, summarized and analyzed. 3. On the basis of revising the hypothesis of linear equilibrium in the model of Kylefield 1985 (classical model of internal transaction problem), According to Nash equilibrium theory, affine theory and stochastic analysis theory, we discuss all the information that internal traders do not fully know the value of assets. In this paper, three new equilibrium models are established for two periods of intra-transaction dynamic game: model 1: risk aversion equilibrium model, model 2: risk preference equilibrium model, model 1: risk aversion equilibrium model, model 2: risk preference equilibrium model. Model 3: risk neutral equilibrium model, and find the Nash equilibrium solution of these three equilibrium models. The influence of the fluctuation degree of medium noise 蔚 (蟽 蔚 2) on the depth of the market, the trading volume and the total trading volume of the internal trader, the residual information of the equilibrium price of the asset transaction and the risk aversion to the income of the internal trader are analyzed. It is concluded that the less noise interferes with the market (蟽 蔚 2 is smaller, the better the return of internal traders (with incomplete information), the more active the trades of internal traders are. The more information on asset value is included in the equilibrium price of transaction, the more the content of this paper is summarized, and the future research work of internal transaction is prospected.
【学位授予单位】：长沙理工大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F830.9;F224
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本文编号：1574234