考虑有限关注的多个信息交易者竞争交易分析

Competition Analysis of Multiple Informed Traders Considering Limited Attention

文章假设在一个具有唯一风险资产的金融市场中,存在多个风险中性的信息交易者、很多噪音交易者、风险中性的做市商三类交易者,其中信息交易者是有限关注的,他们通过权衡关注和竞争两种因素选择交易量。文章首先建立了信息交易者具有不同关注度的一般模型,然后建立了具有相同关注度的模型,通过求解唯一线性均衡,推导它的均衡特征,得出结论:信息交易者的交易强度、期望收益随着其他信息交易者关注度和信息交易者数量的增大而降低,随着自身的关注度的增大而增大;信息交易者数量较少时,期望收益随着信息交易者关注度的增大而增大;而信息交易者数量较多时,期望收益随着信息交易者关注度的增大起初快速增大,然后缓慢降低。

Based on the analytical framew ork of Kyle( 1985) and Holden and Subrahmanyam( 1992),this paper divide traders into three types: Nrisk neutral informed traders,many noise traders and risk neutral market makers in a market w ith unique risk asset. We assume that different informed traders have different attention and obtain heterogeneous signals w ith different precision. Informed traders w ill obtain different signals coming from different attention and the greater the attention leads to the higher the precision of the signal. With this setup,w e relax the assumption that informed traders in Kyle( 1985) and Holden and Subrahmanyam( 1992) models obtain perfect signals. On the one hand,in order to earn more profits,informed traders make ceaseless efforts to get more new s by improving their attention. On the other hand,the informed trader assess the degree of other traders’ mastery of information and participating in the transaction. They w ill also hide ow n trading behavior in order not to lose their information advantage and reduce losses originating of competition.Therefore,informed traders choose trading strategies by w eighing the tw o factors of attention and competition. By assuming that the model has a unique linear equilibrium and derive its equilibrium characteristics,w e can reach the follow ing conclusion:①Trading intensity and expected return of the specific informed trader decrease w ith other informed traders’ attention w hile increase w ith their ow n attention;②For a specific informed traderi,w hen attention of other informed traders in the market are very big,the total expected return of the informed traders decreases w ith attention of the informed trader;w hen attention of other informed traders are small enough,the total expected return increases w ith the attention of the traderiif it is bigger,w hile the total expected return decreases w ith the attention degree of the traderiif it is smaller.③When the attention of other informed traders is very small,the total expected return increases with attention of the informed trader. In order to compare w ith the empirical conclusion and find out the market optimal attention,this paper also establishes a homogeneous atteion model,and concludes that the trading intensity of the informed trader w eakens w ith the number of informed traders,w hile increases w ith the attention. When the number of informed traders is small,the individual and total expected return increase w ith informed trader’s attention. While the number of informed traders is large,the individual and total expected return increase rapidly w ith the attention,but then decrease slow ly. As a result,there is a optimal attention value w hen the expected return is maximum. And w hen the number of informed traders tends to infinity,the total terurn do not tend to 0 but a finite value. Finally,the above conclusions are explained by calculating market efficiency. In this paper,w e not only extend the Kyle( 1985) model and Holden and Subrahmanyam( 1992) model,but also extend the current theory of investor attention. At the same time,these research conclusions can provide theoretical support for a lot of existing empirical literature,such as high attention leading to high trading volume,high attention leading to low returns,return reversal effect and so on.