Concentrated Trading and the Survival of Overconfident Traders  

作　　者：Huai-nian ZHANG De-qing ZHOU 

机构地区：[1]Mathematics School & Institute, Jilin University, Changchun 130012, China [2]Department of Mathematics and Physics, Beijing Institute of Petrochemical Technology, Beijing 102617, China [3]School of Finance, Central University of Finance and Economics, Beijing 100081, China

出　　处：《Acta Mathematicae Applicatae Sinica》2019年第4期753-760,共8页应用数学学报（英文版）

基　　金：Supported by National Natural Science Foundation of China(Grant No.11301563);the Program for innovation Research in Central University of Finance and Economics;Beijing Municipal Education Commission Scientific Research Plan;Social Science Plan General Project(Grant No.KM201710017004)

摘　　要：We build a strategic trading model where the overconfident trader earns more than the rational trader and the mechanism for this result differs from that of Kyle and Wang(1997). In this paper, discretionary and nondiscretionary liquidity traders coexist. The overconfident insider is less worried by the market maker and thus induces a lower liquidity cost. In this way, he attracts all the trading from the discretionary liquidity traders, which enables the survival of the overconfident trader.We build a strategic trading model where the overconfident trader earns more than the rational trader and the mechanism for this result differs from that of Kyle and Wang(1997). In this paper, discretionary and nondiscretionary liquidity traders coexist. The overconfident insider is less worried by the market maker and thus induces a lower liquidity cost. In this way, he attracts all the trading from the discretionary liquidity traders, which enables the survival of the overconfident trader.

关 键 词：STRATEGIC TRADING concentrated TRADING OVERCONFIDENCE 

分 类 号：F224[经济管理—国民经济]