具有两个内部交易者的内部交易模型的混合策略均衡

The Mixed Equilibrium of Insider Trading Models with Two Insiders

本文克服了Gong和Liu(2012)在模型设定上的缺陷,重新研究了市场上存在两个拥有相同私有信息内部交易者的情况.根据内部交易者对待风险的态度不同,研究了风险喜好型、风险中性型以及风险厌恶型内部交易者模型,用正确的方法分别证明了这三个模型混合策略均衡的存在性和唯一性.在此基础上,利用渐近分析方法对高频交易情况下三类内部交易者混合策略均衡的渐近行为进行了分析和讨论,不仅计算了经济金融变量序列趋于零或无穷的速度,而且获得了这些经济金融变量序列除以相应收敛速度后所得的规范化变量序列的极限.因此,不仅获取了高频交易情况下这些变量准确的渐近行为特征及非平凡连续解,而且还发现了风险中性型内部交易者模型不同于类似Kyle型模型的渐近行为.

The paper overcomes some weakness in Gong and Liu（2012）, presents the cor- rect model for two insiders who owns the same private information, and restudies it. According to the difference of insiders＇ risk attitude, three different models -- risk-seeking insiders＇ model, risk-neutral insiders＇ model and risk-averse insiders＇ model are given, and the existence and uniqueness of mixed strategy equilibrium are proved for the three models by using correct methods respectively. Furthermore, the asymptotic analysis on the mixed strategy equilibrium for three types of insider trading in the high frequency trading case is obtained respectively. Not only the speeds of the variables tended to zero or infinity but also the limits of the normalized variables which are the variables divided by their speeds tended to zero or infinity, are calculated. Hence, the asymptotic behavior characteristics of the equilibrium in high frequency trading along with the nontrivial continuous solutions are given, and the different asymptotic behavior of risk-neutral insiders＇ model than similar Kyle＇s type model was shown.