基于Stackelberg博弈下的连续内部交易均衡的存在性

On the equilibrium of insider trading for Stackelberg game in continuous time

应用滤波理论、动态规划原理及最大值原理,证明了两个内部人进行连续时间Stackelberg博弈的一类线性市场均衡的存在性,其中,市场均衡由领导者的交易强度、追随者的交易强度以及市场流动性组成。研究表明,当市场处于均衡时,风险资产价值的所有信息体现在定价之中;领导者不参与交易,而追随者垄断整个市场。这可能是两者之间在连续时间上博弈,领导者及其他所有信息时刻被追随者所追踪,而领导者又必须遵从这种主从博弈结构所致。

By using the filtering theory,dynamic programming and maximum principle,we prove the existence of a class of linear market equilibrium consisting of the trading intensity of leader,the trading intensity of follower and market liquidity,in which two insiders play Stackelberg game in continuous time.It shows that in the equilibrium,all information about the value of risky assets is reflected in pricing in the end;the leader does not participate in the transaction,while the follower monopolizes the whole market.This may be due to the continuous-time game between the two insiders,in which the information of the leader is tracked by the follower at each time while the leader must abide by this master-slave game structure.