JOURNAL OF BEIJING UNIVERSITY OF AERONAUTICS AND A ›› 2010, Vol. 23 ›› Issue (4): 41-43.

• 论文 • Previous Articles     Next Articles

Strategic Trading of Uninformed Traders and Properties of Equilibrium

SONG Yu-tao, LIU Shan-cun   

  1. School of Economics and Management, Beijing University of Aeronautics and Astronautics, Beijing 100191, China
  • Received:2009-04-09 Online:2010-08-20 Published:2010-10-14
  • Supported by:

    国家自然科学基金资助项目(70671006); 全国博士学位论 文作者专项资金资助项目(200466)

Abstract:

This paper establishes a gamble model among market maker, informed and uninformed traders using rational expectation idea. It studies the optimal information production cost and market liquidity at the equilibrium and analyzes the affection of endogenous information decision to the information content of price. The paper also manifests that more informed traders can even decrease information content of price under certain circumstances. This implies that it needs comprehensive consideration of every factor in improving the market quality.

Key words: strategic trading, properties of equilibrium, information content of price

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