风险资产交易市场中两个信号下的内部交易

Insider Trading with Two Signals in a Risk Asset Trade Market

在风险资产交易市场中,做市商除了收到交易总量信号外,往往还能观测到清算价值的部分信号.在满足条件利润最大化和市场有效性定价假设下,本文研究了这两个信号影响下的内部交易市场特征.研究发现,内部交易者释放了大量私有信息,而期望利润、交易策略系数和市场流动性系数为常值.

In a risk asset market, market makers often observe some partial signals of the value of a risk asset, in- eluding the total trading orders submitted by insiders and noisers. Under the assumptions of both profit maximization and market efficiency of pricing, we study the characteristics of insider trading market under the impact of two observ- ing signals. It shows that much private information is released while expect profit of insider, order strategy parameter and market liquidity parameter are all keeping constant.