交易者异质信息结构策略模型  

Modeling strategic trading under heterogeneous information structure

作　　者：张强[1] 刘善存[2] ZHANG Qiang;LIU Shan-cun(School of Economics and Management,Beijing University of Chemical Technology,Beijing 100029,China;School of Economics and Management,Beihang University,Beijing 100191,China)

机构地区：[1]北京化工大学经济与管理学院,北京100029 [2]北京航空航天大学经济管理学院,北京100191

出　　处：《管理科学学报》2025年第1期177-190,共14页Journal of Management Sciences in China

基　　金：国家自然科学基金资助项目(71771008)。

摘　　要：在理性预期框架下,引入获取流动冲击信号的技术投资者,探讨了交易者的投资策略及市场均衡特征.研究发现价值投资者采用“投机”策略;技术投资者则采用“冲销”策略与“追涨杀跌”策略.技术投资者对流动冲击信号的不同预期,将导致其采用两种不同强度的“冲销”策略,进而金融市场存在两个均衡.在梳理价值投资者比例对价格信息含量的影响基础上,厘清各类外生参数对市场质量指标的影响机理.信息市场均衡中,随着价值投资者的比例增加,价格的信息含量单调递增,从而技术投资者更容易从价格中获取信息,信息获取均表现出策略替代效应.This paper builds a rational expectation equilibrium(REE)model that incorporates a heterogene-ous information structure to explore the intrinsic mechanism of traders'strategies and corresponding equilibrium characteristics.Specifically,the model introduces technical investors who receive liquidity shock signals.The results show that value-investors adopt a speculative strategy,while technical investors employ a combination of positive feedback and offsetting strategies.Notably,two equilibria exist depending on the relative intensity of the offsetting strategies.Specifically,the paper examines the direct influence of the ratio of value investors on the price content,thereby clarifying the mechanism by which external factors shape market quality indicators.In the equilibrium of the information market,as the fraction of value investors increases,the information con-veyed by prices also rises,creating an opportunity for technical investors to free ride on the security price.Consequently,information acquisition exhibits strategic substitutable in both equilibria.

关 键 词：理性预期 信息获取 多重均衡 策略替代 

分 类 号：F830.9[经济管理—金融学]