新进者内部交易博弈的线性Bayesian-Stackelberg均衡  

Linear Bayesian-Stackelberg equilibrium in insider trading game with a new entering insider

作　　者：杨华昀 周永辉 

机构地区：[1]贵州师范大学数学科学学院,贵州贵阳550025 [2]贵州师范大学大数据与计算机科学学院,贵州贵阳550025

出　　处：《贵州师范大学学报（自然科学版）》2018年第1期72-76,95,共6页Journal of Guizhou Normal University：Natural Sciences

基　　金：国家自然科学基金(批准号:11161011)

摘　　要：研究了一类内部交易市场中有新进者的主从博弈模型,证明了该博弈线性Bayesian-Stackelberg均衡策略的存在性,并发现在该均衡时,内部交易者收到的资产价值信号与内部交易量,第一阶段的市场价格波动都是正相关,但与第二阶段的市场价格波动负相关。We study a Stackelberg game model of insider trading with a new comer, and prove the ex- istence of linear Bayesian-Stackelberg equilibrium of the game. It shows that in this equilibrium, the signal of the asset value received by the insider traders is positively correlated with both insider trading orders and the market price fluctuation at the first stage, but is negatively correlated with the market price fluctuation at the second stage.

关 键 词：内部交易 Bayesian—Stackelberg均衡 市场有效性 部分信息 

分 类 号：O152.7[理学—数学]