套期保值者策略性交易和市场多重均衡  

Hedgers' Strategies and Market Multiple Equilibrium

作　　者：陈彬彬[1] 刘善存[1] 

机构地区：[1]北京航空航天大学经济管理学院,北京100191

出　　处：《数学的实践与认识》2015年第11期52-60,共9页Mathematics in Practice and Theory

基　　金：国家自然科学基金(71071010;71371023;71371024)

摘　　要：金融市场中,投资者为规避风险经常采取套期保值策略,降低因资产价值波动带来的风险.从金融市场微观结构理论出发,通过分析知情交易者交易策略和做市商定价策略对套期保值者交易的影响,构建了套期保值者策略交易模型.从模型和数值分析得出,套期保值者的策略性交易使市场具有产生多重均衡的可能:一种为套期保值者数量多,流动性高的均衡;另一种为套期保值者数量少,流动性低的均衡.其形成过程为套期保值者进入(退出)市场会引起其他套期保值者进入(退出)市场,形成预期自我实现现象,导致不同流动性下的均衡.Trading strategies are so effective in reducing risk because they enable traders to hedge, that is, engage in financial transaction that reduces or eliminates risks. In this paper, we present a strategy model which concerns the trading strategies of informed traders and the pricing strategies of market maker based on the financial market microstructure theory. Market multiple equilibriums are derived from the model. One shows that the larger the number of the hedgers is, the better liquidity the market has. The other shows that the smaller the number of the hedgers is, the worse liquidity the market has. F^rthermore, the results reveal self-fulfilling phenomenon that hedgers＇ entrance （departure） will result in the others enter （depart） the market.

关 键 词：市场微观结构 套期保值者 市场多重均衡 

分 类 号：F275[经济管理—企业管理] F832.51[经济管理—国民经济]