具有内部交易的多头交易博弈  

Game Playing of Multicipital Business Containing Inner Business

作　　者：赵人可[1] 赵文婷[1] 李静伊[2] 彭朝晖[2] 

机构地区：[1]长沙理工大学数学与计算科学学院,湖南长沙410004 [2]长沙理工大学经济与管理学院,长沙湖南410004

出　　处：《经济数学》2013年第1期27-32,共6页Journal of Quantitative Economics

基　　金：国家自然科学基金项目(11171044);湖南省自然科学基金项目(11JJ2001);高等学校博士学科点专项科研基金(20104306110001);湖南省研究生科研创新项目(CX2011B366)资助

摘　　要：以Kyle的单期模型为基础,针对交易市场的参入者掌握的信息集,将交易者分为内部交易者、若干类型的外部交易者、噪声交易者和做市商.从而建立具有内部交易的多头交易博弈随机模型,并求得该模型的线性纳什均衡解.由此发现公共信息存在,有利于外部交易者和噪声交易者,却不利于内部交易者操纵交易市场,因此,公共信息的存在对市场稳定和发展具有重要意义.Based on Kyle＇s single period model, and aiming at the collection of information grasped by participants of trading market, the swappers were classified into inner swapper, kinds of outer swapper, noise swapper and market maker. Then the stochastic model of game playing of multicipital business containing inner business was built, and the linear Nash equilibrium solution of the model was obtained. The solution shows that the communal information existing is benefit for outer swapper and noise swapper, which protects the trading market from being commanded by inner swapper. So, communal information is of important meaning to the stable development of market.

关 键 词：内部交易 局部共享信息 市场半强有效性 线性纳什均衡 市场深度 

分 类 号：O211.62[理学—概率论与数理统计]