基于随机微分方程的股权拍卖报价策略及模型研究

Research on bidding strategy and modeling of equity auction based on stochastic differential equations

拍卖是实现风险投资股权退出的方式之一.在风险投资股权拍卖交易中存在的信息不对称以及外部环境的不确定性使得外部投资者难以对风险企业股权准确地定价,鉴于此,将股权竞买系统视为一个开放系统,运用随机微分方程来描述外部投资者的报价策略状态演变过程,在此基础之上构建风险投资退出股权拍卖模型,并探讨市场出清价格的形成机理及其信息公布程度、竞买人易受影响程度等因素的影响,最后运用变分法对风险投资家的期望收益进行了分析.

Auction is a realizable way of venture capital equity exit. The problems of information asym- metry and the indefinite nature of external environment in venture capital equity auction make it difficult for the outside investors to accurately price the risk corporate equity. Given this, the equity bidding system can be considered as an open system, thus the changing state of outside investors＇ bidding strategies can be described by stochastic differentiM equations. On this basis, this paper constructs a venture capital exit equity auction model, then discusses the formation mechanism of the corporate equity clearing price and its influence factors such as the degree of information disclosure, bidder＇s susceptible extent and so on, and finally analyses the expected revenue of venture capitalist by means of calculus of variations.