不完全信息下两个内部交易者的交易行为分析  

The analysis of trading behavior with two insiders when the information is incomplete

作　　者：巩馥洲[1] 尚宏媛 

机构地区：[1]中国科学院数学与系统科学研究院,北京100190 [2]北京科技大学数理学院,北京100083

出　　处：《纯粹数学与应用数学》2014年第2期111-128,共18页Pure and Applied Mathematics

基　　金：国家自然科学基金(17021101)

摘　　要：当市场上存在两个拥有不完全信息的内部交易者时,研究了其对待风险的态度分别为风险喜好、风险中性与风险厌恶情况下模型在混合策略空间中离散时间的均衡解和高频交易下均衡的渐近行为特征,并分析了相关模型的经济金融学意义.According to the difference of insiders′ risk attitude, three different models-risk-seeking insiders′model, risk-neutral insiders′ model and risk-averse insiders′ model are given in the financial market where there exists two insiders who own the same incomplete information. The discrete time equilibrium and asymptotic behavior of high frequency trading in the mixed strategy space are proved for the three models respectively. Furthermore, the economic characteristics for the three models are also analysed.

关 键 词：不完全信息 内部交易 混合策略均衡 高频交易 渐近分析 

分 类 号：O211.6[理学—概率论与数理统计] O211.9[理学—数学]