证券市场信息反馈理论浅析

本文借助Glosten/Milgrom(1985)的信息模型来分析在证券市场存在非对称信息的情况下,做市商为避免在和知情交易者进行交易时由于信息的不完整性时产生损失,而确立一个股票买卖价格的差额。做市商通过观察交易者的交易委托类型,借助贝叶斯定理来学习信息的反馈,而股票的真正价值会随着交易过程的延续最终体现在股票的价格中。该模型的研究为我国做市商制度的发展和完善提供了必要的理论依据。

In this paper,Glosten/Milgrom（1985） Informational Model is adopted to analyze the establishment of the bid-ask spread for avoiding the losses of the market maker traders when trading with the informed traders in the circumstance of asymmetric information in the stock market.Market makers acquire the feedback of market information by observing the types of orders and by using Bayes rule.However,the true value of a stock is reflected in stock price along with the trading process.Study of the model also provides the necessary theoretical basis for the improvement and development of China＇s market-maker system.