不完全信息下两个内部交易者的交易行为分析

摘要

According to the difference of insiders′ risk attitude, three different models-risk-seeking insiders′model, risk-neutral insiders′ model and risk-averse insiders′ model are given in the financial market where there exists two insiders who own the same incomplete information. The discrete time equilibrium and asymptotic behavior of high frequency trading in the mixed strategy space are proved for the three models respectively. Furthermore, the economic characteristics for the three models are also analysed.%当市场上存在两个拥有不完全信息的内部交易者时，研究了其对待风险的态度分别为风险喜好、风险中性与风险厌恶情况下模型在混合策略空间中离散时间的均衡解和高频交易下均衡的渐近行为特征，并分析了相关模型的经济金融学意义。