不完全清算价值信号下的内部交易

发布时间：2018-07-04 14:52

本文选题：内部交易 + 信息不完全　；参考：《贵州师范大学》2014年硕士论文

【摘要】：在真实的金融市场中，内部交易者往往不能准确预知风险资产价值，而能观测到关于风险资产价值的一个信号。本文首先研究了两期不完全信息下的内部交易，利用正交化技巧求解了该模型的均衡解。然后，我们进一步扩展到N期内部交易模型的研究。根据预期收益的组成部分的特点，我们将内部交易模型分为：风险喜好、风险厌恶和风险中性的三个内部交易模型，，再次利用正交化技巧分别求出了均衡解。同时我们给出了每个模型的经济学意义。研究表明，信号扭曲因素显著影响市场流动性、市场深度、内部交易者期望利润以及信息的释放量。我们的主要观点是：内部交易者可以不用付出收集历史交易总量信息的成本，而直接对做市商公开的历史交易价格信息进行分离利用而节约开销。因此，我们的方法更具有经济学意义。
[Abstract]:In real financial markets, internal traders often can not accurately predict the value of risky assets, but can observe a signal about the value of risky assets. In this paper, we first study the internal transactions under two periods of incomplete information, and solve the equilibrium solution of the model by using the orthogonalization technique. Then, we further extend to the study of N-period internal transaction model. According to the characteristics of the expected income component, we divide the internal trading model into three internal trading models: risk preference, risk aversion and risk neutrality. At the same time, we give the economic significance of each model. The results show that signal distortion factors significantly affect market liquidity, market depth, internal traders' expected profits and the amount of information released. Our main point of view is that internal traders can save money by separating and utilizing the historical transaction price information released by market makers without having to pay the cost of collecting historical transaction total information. Therefore, our method has the economic significance more.
【学位授予单位】：贵州师范大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F830.9;F224

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