信息优势、有限关注与知情交易者竞争交易  

Information Advantage,Limited Attention and Competition Trading of Informed Traders

作　　者：刘维奇 丁月华[3,4] LIU Wei-qi;DING Yue-hua(Institute of Management and Decision,Shanxi University,Taiyuan 030006,China;School of Finance,Shanxi University of Finance and Economics,Taiyuan 030006,China;School of Economics and Management,Shanxi University.Taiyuan 030006,China;School of Economics and Management,Taiyuan University of Science and Technology,Taiyuan 030024,China)

机构地区：[1]山西大学管理与决策研究所,山西太原030006 [2]山西财经大学金融学院,山西太原030006 [3]山西大学经济与管理学院,山西太原030006 [4]太原科技大学经济与管理学院,山西太原030024

出　　处：《数理统计与管理》2020年第1期162-173,共12页Journal of Applied Statistics and Management

摘　　要：在具有一个风险资产的两期交易模型中,刻画了两类知情交易者:一个内部交易者和多个市场专家,内部交易者获得更精确的信息,而市场专家是有限关注的,根据投入的关注度评价获得的信息质量。通过求解线性均衡条件下关注度和市场竞争程度对订单流、流动性、期望收益和市场效率等市场微观特征的影响,结果表明:市场专家的交易强度随关注度的增大而增强,而内部交易者的交易强度随关注度的增大而减弱;市场流动性随着关注度的增大而增大;当市场专家数量较少时,市场专家的收益随着关注度的增大而增大,当市场专家数量较多时,市场专家的收益随着关注度的增大先增大然后缓慢降低。We specify one insider trader and multiple market experts in a two period model with a single risky asset.The insider traders have more accurate information than market experts.And market experts evaluate the information obtained according to their own attention.By solving the effects of the degree of attention and market competition on the micro-characteristics of the optimal order flow,liquidity,expected return and market efficiency under linear equilibrium conditions,we concluded that the trading intensity of market experts increases with attention increasing,while that of insider traders decreases;Market liquidity increases as attention of market experts increases;When the number of market experts is small,their profits increase with attention increasing.While the number is large,their profits increases with attention increasing firstly and then decreases.

关 键 词：内部交易 有限关注 竞争 收益 市场效率 

分 类 号：F830.91[经济管理—金融学] O212[理学—概率论与数理统计]