透明度与市场效率——基于信息不对称的适应性学习研究

发布时间：2018-03-03 18:54

本文选题：计算实验金融　切入点：订单簿透明度　出处：《管理科学学报》2017年07期 　论文类型：期刊论文

【摘要】：通过拓展Pouget模型,考察了当所有投资者采用适应性学习(有限理性)规则更新信念时,订单信息的透明度增加如何影响市场的价格发现效率和福利配置效率.结果表明,透明度增加后,市场效率大幅降低,价格发现和福利配置都难以收敛到理性预期均衡.进一步剖析投资者的策略选择可以发现,透明度增加后,拥有信息优势的知情者倾向于提交对自己更加有利的订单,而放弃均衡的交易策略;非知情者为了规避由此带来的逆向选择风险,也会放弃均衡策略而倾向于提交更加保守的订单,最终导致市场效率大幅下降.
[Abstract]:By extending the Pouget model, we investigate how the transparency of order information affects the efficiency of market price discovery and welfare allocation when all investors adopt adaptive learning (limited rationality) rules to update their beliefs. With the increase of transparency, the market efficiency is greatly reduced, the price discovery and welfare allocation are difficult to converge to rational expectation equilibrium. Insiders with information advantages tend to submit orders that are more beneficial to them and abandon a balanced trading strategy; in order to avoid the adverse selection risk, It would also abandon the equilibrium strategy in favour of more conservative orders, resulting in a sharp decline in market efficiency.
【作者单位】：南京大学工程管理学院;
【基金】：国家自然科学基金青年资助项目(71401071) 教育部人文社会科学研究青年资助项目(14YJC790025)
【分类号】：F832.51

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