非知情交易者策略性交易及均衡特征研究

基金项目: 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)

详细信息

Strategic Trading of Uninformed Traders and Properties of Equilibrium

School of Economics and Management, Beijing University of Aeronautics and Astronautics, Beijing 100191, China

Funds: 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)

摘要: 利用理性预期思想建立做市商与知情、非知情交易者之间的博弈模型,研究市场达到一般均衡状态时的最优信息成本和市场流动性,分析信息的内生化决策对价格信息含量的影响,并得出知情交易者数目增加在一定条件下反而会降低价格信息含量的结论,说明市场质量的提高要综合考虑各方面的机制设计因素。
- 策略性交易 /
- 均衡特征 /
- 价格的信息含量
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.
- strategic trading /
- properties of equilibrium /
- information content of price

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