This paper studies the connection between the irrational behavior of traders and the herding equilibrium of informed traders in security market. At first, we set up the trading system on the condition of market maker,...This paper studies the connection between the irrational behavior of traders and the herding equilibrium of informed traders in security market. At first, we set up the trading system on the condition of market maker, establish a trading model of perfectly rational traders, and then define herding equilibrium. Second, we extend the model using two parameters, and find the critical points of irrational traders when they reach the herding equilibrium. The result indicates that herding never occurs in market if all the traders are perfectly rational. If consider their irrational factor, it maybe arouse herding. Besides, along with the number of traders who make the same trading strategies increasing, the two critical points show some rules.展开更多
This paper estimates the information-based trading using spatially selective noise filtration （SSNF） method. The SSNF method is a kind of filtration technique based on the different spatial correlation of the wavele...This paper estimates the information-based trading using spatially selective noise filtration （SSNF） method. The SSNF method is a kind of filtration technique based on the different spatial correlation of the wavelet transform at several adjacent scales. Using SSNF method, the information shock caused by the informed traders could be extracted from the prices effectively, then the PINs at different scales could be calculated. The measure of informed trading can capture some asymmetric information properties, which is consistent with some empirical consensuses. Furthermore, compared with the MLE method in EKOP model, the method has computational facilities in avoiding the overflow or underflow problem, the boundary solutions problem and the initial values problem. And the method could be applied to the high-frequency world in both order-driven and quote-driven market.展开更多
Information is an important issue in financial markets since information advantage leads to increased profits. This paper investigates whether those with less risk aversion or more risk aversion would like to be infor...Information is an important issue in financial markets since information advantage leads to increased profits. This paper investigates whether those with less risk aversion or more risk aversion would like to be informed when there is private information which can be acquired for a certain cost. The CARA utility function and normal return assumptions were used to get the closed form solution of the absolute risk aversion coefficient which is indifferent to whether a person wants to be informed, which shows that the less risk aversion investor would like to be informed. The results further show that in financial markets, those people with lower risk aversion （for instance, institutional investors） are more favorable to information and price discovery of risky assets, which is consistent with intuition as well as empirical studies.展开更多
基金This project is supported by National Natural Science Foundation of China（70371063）
文摘This paper studies the connection between the irrational behavior of traders and the herding equilibrium of informed traders in security market. At first, we set up the trading system on the condition of market maker, establish a trading model of perfectly rational traders, and then define herding equilibrium. Second, we extend the model using two parameters, and find the critical points of irrational traders when they reach the herding equilibrium. The result indicates that herding never occurs in market if all the traders are perfectly rational. If consider their irrational factor, it maybe arouse herding. Besides, along with the number of traders who make the same trading strategies increasing, the two critical points show some rules.
基金supported by the National Natural Science Foundation of China under Grant Nos.71371023,71371024,71373017,71171146,and 71771008
文摘This paper estimates the information-based trading using spatially selective noise filtration （SSNF） method. The SSNF method is a kind of filtration technique based on the different spatial correlation of the wavelet transform at several adjacent scales. Using SSNF method, the information shock caused by the informed traders could be extracted from the prices effectively, then the PINs at different scales could be calculated. The measure of informed trading can capture some asymmetric information properties, which is consistent with some empirical consensuses. Furthermore, compared with the MLE method in EKOP model, the method has computational facilities in avoiding the overflow or underflow problem, the boundary solutions problem and the initial values problem. And the method could be applied to the high-frequency world in both order-driven and quote-driven market.
基金Supported by the Program for New Century Excellent Talents in University(NCET)the National Key Basic Research and Devel-opment (973) Program of China(No. 2007CB814902)the National Natural Science Foundation of China(Nos. 70671067 and71071086)
文摘Information is an important issue in financial markets since information advantage leads to increased profits. This paper investigates whether those with less risk aversion or more risk aversion would like to be informed when there is private information which can be acquired for a certain cost. The CARA utility function and normal return assumptions were used to get the closed form solution of the absolute risk aversion coefficient which is indifferent to whether a person wants to be informed, which shows that the less risk aversion investor would like to be informed. The results further show that in financial markets, those people with lower risk aversion （for instance, institutional investors） are more favorable to information and price discovery of risky assets, which is consistent with intuition as well as empirical studies.
