异质信息条件下的博弈均衡  

Game Equilibrium Under the Condition of Heterogeneous Information

作　　者：宋玉涛[1] 刘善存[1] 胡虎[2] 

机构地区：[1]北京航空航天大学经济管理学院,北京100191 [2]北京大学政府管理学院,北京100871

出　　处：《北京工业大学学报》2010年第2期284-288,共5页Journal of Beijing University of Technology

基　　金：国家自然科学基金资助项目(70671006);全国优秀博士学位论文作者专项资金资助项目(200466)

摘　　要：为考察异质私有信息条件下的交易行为和均衡定价,运用理性预期思想建立了信息性交易者的2期策略性博弈模型,证明满足一定条件时市场中存在线性均衡,并给出均衡定价和交易策略的解析形式,通过数值仿真方法求出1组均衡解,得出内幕交易者会逐步利用自己的信息以期获得最大化收益的结论.This paper establishes a two-period strategic game model with rational expectation tool to examine the trading behavior and the equilibrium pricing under the condition of heterogeneous private information. It proves that there exists a linear equilibrium when some special condition is satisfied and gives the analytical form of trading strategy and equilibrium price. Finally, it solves problem of the equilibrium numerically and indicates that the insider would exploit his private information gradually in order to obtain maximum profit.

关 键 词：异质信息 博弈模型 均衡定价 

分 类 号：F830[经济管理—金融学]