具有内部交易的多头交易博弈

赵人可1; 赵文婷1; 李静伊2; 彭朝晖2

具有内部交易的多头交易博弈

引用本文：赵人可1,赵文婷1,李静伊2,彭朝晖2.具有内部交易的多头交易博弈[J].经济数学,2013,(1):27-32

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作者	单位
赵人可1,赵文婷1,李静伊2,彭朝晖2	(1.长沙理工大学数学与计算科学学院,湖南长沙 410004 2.长沙理工大学经济与管理学院,长沙湖南 410004)

中文摘要:以Kyle的单期模型为基础,针对交易市场的参入者掌握的信息集,将交易者分为内部交易者、若干类型的外部交易者、噪声交易者和做市商.从而建立具有内部交易的多头交易博弈随机模型,并求得该模型的线性纳什均衡解.由此发现公共信息存在,有利于外部交易者和噪声交易者, 却不利于内部交易者操纵交易市场,因此,公共信息的存在对市场稳定和发展具有重要意义.

中文关键词:内部交易局部共享信息市场半强有效性线性纳什均衡市场深度

Game Playing of Multicipital Business Containing Inner Business

Abstract:Based on Kyle’s single period model, and aiming at the collection of information grasped by participants of trading market, the swappers were classified into inner swapper, kinds of outer swapper, noise swapper and market maker. Then the stochastic model of game playing of multicipital business containing inner business was built, and the linear Nash equilibrium solution of the model was obtained. The solution shows that the communal information existing is benefit for outer swapper and noise swapper, which protects the trading market from being commanded by inner swapper. So, communal information is of important meaning to the stable development of market.

keywords:inner swapper brushfire pool information market semi-strong efficiency linear nash equilibrium market depth

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