金融市场中信息与定价的一个拍卖理论分析

Analysis of an Auction Theory on Information and Pricing in Financial Market

金融市场中的信息分布与定价机制的关系可以用一个两阶段动态博弈的拍卖模型来分析,当市场中存在着知情人时,做市商的定价会偏离资产的预期价值,进而抬高价格将知情人"筛选"出市场,与此同时,付出的代价是交易量的萎缩;当完全知情人的比例超过一半时,交易量萎缩为零。

In a two-stage auction model with dynamic game,the pricing mechanism has a close relation with the information distribution in market.When there exist informed traders in the market,market makers＇ offer prices tend to deviate from the expectation value of assets in order that the elevated prices can drive the informed traders out of the market.But the rising prices also cause the trading volume to go down.When the percent of the informed traders surpasses 50%,the trading volume shrinks to zero.