摘要
张首元和巩馥洲等,针对一类特定的混合交易策略研究了具有完全信息的两个内部交易者的行为特征.依据张首元所建立的具有完全信息的有限个内部交易者的类似模型,我们研究了风险喜好型内部交易者的行为特征.我们首次发现:这些内部交易者可能的均衡混合交易策略中分量的参数是相等的,因而其分量具有同分布性;当内部交易者的个数小于等于6时,混合均衡策略的参数具有存在唯一性;而当内部交易者的人数大于等于7时,由于市场的激烈竞争,导致了混合均衡策略不存在.进一步,利用数值模拟方法我们分析了该模型中经济金融变量的变化特征及其经济金融含义.
ZHANG and GONG-ZHANG-LIU-WU had studied the characters of trading behaviors for two insider traders with complete information of the liquidation value of the risk assets in a special kind of mixed strategies. Based on the similar model in ZHANG＇s paper for finite number insider traders, the characters of trading behaviors for finite number risk-seeking insider traders were studied in this paper. We find that the existence and uniqueness of equilibrium can be proved if the number of insiders is less than or equal to six; to others there is no equilibrium. Moreover, the characters of economic and financial variables are analyzed by the numerical method.
出处
《应用数学》
CSCD
北大核心
2016年第4期910-920,共11页
Mathematica Applicata
基金
万人计划百千万人才工程领军人才支持经费和国家自然科学基金(10721101)
关键词
完全信息
内部交易
混合策略均衡
Complete information
Insider trading
Mixed strategy equilibrium
