發(fā)布時間：2018-02-01 08:58

  本文關(guān)鍵詞： 內(nèi)部交易 高頻交易 博弈論 做市商 混合策略 漸近分析　出處：《長沙理工大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

【摘要】：本文以Gong和Zhou(2010)模型為原型,對內(nèi)部交易問題做了擴展研究。該模型中假設(shè)市場中存在一項風(fēng)險資產(chǎn),關(guān)于該風(fēng)險資產(chǎn)參與交易的交易者分為三類：首先是內(nèi)部交易者,擁有私有信息,以自身利潤最大化為目標選擇最優(yōu)的交易策略,并假設(shè)內(nèi)部交易者個數(shù)為2；其次為噪聲交易者,沒有任何的私有信息,客觀上為內(nèi)部交易者提供了掩護；第三類交易者為做市商,根據(jù)內(nèi)部交易者和噪聲交易者的提交交易量之和,結(jié)合公開的歷史信息,制定理性預(yù)期價格。 本文對均衡定義做了兩條假設(shè)：1.內(nèi)部交易者利潤最大化：在每一期交易,內(nèi)部交易者根據(jù)私有信息和歷史信息以及對風(fēng)險的態(tài)度選擇最優(yōu)交易量,以最大化相應(yīng)預(yù)期未來總利潤的相關(guān)部分；2.市場有效性條件：價格序列關(guān)于總交易量序列生成的信息流為鞅。 本文研究了三個模型：1.兩個內(nèi)部交易者為風(fēng)險喜好：先最大化風(fēng)險利潤,然后最大化保底利潤；2.兩個內(nèi)部交易者為風(fēng)險中性：最大化事前預(yù)期未來總利潤；3.兩個內(nèi)部交易者為風(fēng)險厭惡：首先最大化保底利潤,然后最大化風(fēng)險利潤。 在高頻交易情況下,本文主要考慮了三類內(nèi)部交易者混合策略均衡的漸近分析。這里高頻交易是指：在[0,1]時間區(qū)間內(nèi),交易次數(shù)很多,每次交易間隔時間很短。當交易次數(shù)趨于無窮大時,直接對其中的經(jīng)濟金融變量序列取極限獲得的結(jié)果是平凡的,即所獲得的極限結(jié)果為零或無窮.因此,本文需要使用漸近分析的方法對高頻交易情況下三類內(nèi)部交易者的混合策略均衡進行了分析和討論,不僅計算了經(jīng)濟金融變量序列趨于零或無窮的速度,而且獲得了這些經(jīng)濟金融變量序列除以相應(yīng)收斂速度后所得的規(guī)范化變量序列的極限,因此獲取了相應(yīng)的非平凡連續(xù)解。 本文的主要結(jié)果為：交易強度、剩余信息量和市場流動性參數(shù)的變化速度以及它們規(guī)范化后的極限,并與Gong和Zhou(2010)模型中市場上僅有一個內(nèi)部交易者的相應(yīng)結(jié)果進行了比較分析,討論了內(nèi)部交易者個數(shù)和風(fēng)險屬性對于交易強度、剩余信息量和市場流動性參數(shù)的影響。
[Abstract]:This paper takes the Gong and Zhou 2010 models as the prototype and makes an extended study on the internal trading problem. The model assumes that there is a risky asset in the market. There are three types of traders involved in the trading of the risky assets: first, the internal traders have private information and choose the optimal trading strategy with the goal of maximizing their own profits, and assume that the number of internal traders is 2; Secondly, noise traders, without any private information, objectively provide cover for internal traders; The third type of traders are market makers. According to the sum of the transaction volume submitted by internal traders and noise traders, rational expected prices are formulated in combination with public historical information. This paper makes two assumptions on the definition of equilibrium: 1. The profit maximization of internal traders: in each transaction, internal traders choose the optimal trading volume according to private information and historical information, as well as the attitude towards risk. To maximize the relevant portion of the corresponding expected future total profit; 2. Market efficiency condition: the information flow generated by the price sequence on the total trading volume sequence is martingale. This paper studies three models: 1. Two internal traders are risk preference: first to maximize risk profit, then to maximize guaranteed profit; 2. The two internal traders are risk-neutral: to maximize the expected future total profit; 3. Two internal traders are risk-averse: first maximize guaranteed profits, and then maximize risk profits. In the case of high frequency trading, this paper mainly considers the asymptotic analysis of mixed strategy equilibrium of three kinds of internal traders. [In the time range, the number of transactions is many, and the time between each transaction is very short. When the number of transactions tends to infinity, the result obtained by taking the limit of the economic and financial variables directly is ordinary. Therefore, we need to use asymptotic analysis method to analyze and discuss the mixed strategy equilibrium of three kinds of internal traders in the case of high frequency trading. Not only the speed of the sequence of economic and financial variables approaching zero or infinity is calculated, but also the limit of the sequence of normalized variables obtained by dividing the sequence of economic and financial variables by the corresponding convergence rate is obtained. Therefore, the corresponding nontrivial continuous solutions are obtained. The main results of this paper are as follows: the trading intensity, the amount of residual information and the changing speed of the market liquidity parameters and their standardized limits. And compared with the corresponding results of only one internal trader in the market in Gong and Zhou 2010) model, and discussed the number of internal traders and risk attributes for the trading intensity. The effect of residual information and market liquidity parameters.
【學(xué)位授予單位】：長沙理工大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F830.91;F224

【參考文獻】

相關(guān)期刊論文 前2條

1 攀登,鄒炎,劉海龍,吳沖鋒;考慮不完全知情交易者的交易策略分析[J];系統(tǒng)工程理論與實踐;2003年10期

2 李勇;對“內(nèi)部人”交易信息披露制度的經(jīng)濟分析[J];預(yù)測;2004年06期

，

本文編號：1481470