看法差异、信息不对称、卖空限制与价格形成

Differences in Opinion, Asymmetric Information, Short-sale Constraints and Price Formation

本文构建了一个有卖空限制的指令驱动的市场交易模型,在模型中考虑了交易者之间的信息不对称和看法差异,应用博弈均衡的分析方法,求解模型的均衡结果。通过对均衡结果的分析表明:市场均衡是知情与未知情者之间的一个混同均衡,均衡报价是未知情买卖者之间分配交易剩余的结果,其分配依据是买卖双方各自不能实现交易的相对风险。市场均衡时,一定存在正的买卖价差,价差由限价指令的执行风险补偿项和逆向选择风险补偿项构成。执行风险补偿项是资产分散度指标的减函数,是知情者比例的增函数,并且随交易者看法分散程度的提高而增大。逆向选择风险补偿项是资产分散度指标和知情者比例的增函数,并且随着未知情者对信息掌握程度的提高而减小。

This paper investigates the price formation and spread in an order-driven market under short-sale constraints, asymmetric information and difference in opinions between the traders. By deriving the equilibrium outcome of the model, we find that the market equilibrium is a pool equilibrium between informed and uninformed traders. There exists a positive spread in the market. The spread is composed of two parts： one is execution risk that is to compensate the risk of no-execution of limited orders and the other is adverse selection that is to compensate the risk of adverse selection of limit orders.