本文選題：內(nèi)部交易　切入點(diǎn)：不完全信息　出處：《長(zhǎng)沙理工大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

【摘要】：在金融資產(chǎn)交易市場(chǎng)中,存在一些交易者利用所知道的資產(chǎn)價(jià)值方面信息,進(jìn)行資產(chǎn)交易行為,此類問題被稱為內(nèi)部交易問題。自從Kyle于1985年提出關(guān)于內(nèi)部交易的模型后,就引起了國(guó)內(nèi)外許多專家、學(xué)者關(guān)于這方面的高度關(guān)注及研究熱情,并取得許多研究成果,當(dāng)前,關(guān)于金融資產(chǎn)交易行為研究的熱點(diǎn)之一是內(nèi)部交易問題。在借鑒和參考國(guó)內(nèi)許眾關(guān)于內(nèi)部交易問題的研究文獻(xiàn)基礎(chǔ)上,本論文的主要研究工作如下：1.論述內(nèi)部交易問題的研究背景及意義,對(duì)國(guó)內(nèi)外關(guān)于內(nèi)部交易方面的研究文獻(xiàn)進(jìn)行了歸納與評(píng)述。2.對(duì)與內(nèi)部交易問題的相關(guān)概念、理論基礎(chǔ)及經(jīng)典模型進(jìn)行了闡述、概括、分析。3.在對(duì)Kyle(1985)模型(內(nèi)部交易問題的經(jīng)典模型)中線性均衡假設(shè)修正的基礎(chǔ)之上,針對(duì)內(nèi)部交易者不完全知道資產(chǎn)價(jià)值的所有信息情況,根據(jù)納什均衡理論、仿射理論及隨機(jī)分析理論,分別討論、建立了兩期內(nèi)部交易動(dòng)態(tài)博弈的3個(gè)新的均衡模型(模型1：風(fēng)險(xiǎn)厭惡型均衡模型；模型2：風(fēng)險(xiǎn)喜好型均衡模型；模型3：風(fēng)險(xiǎn)中性型均衡模),并求出了這3個(gè)均衡模型的子博弈納什均衡解。4.對(duì)具有不完全信息的兩期交易的均衡市場(chǎng),分析了資產(chǎn)價(jià)值不完信息(1,+s)的中噪聲ε的波動(dòng)程度(σε2),對(duì)市場(chǎng)深度、內(nèi)部交易者的交易量和市場(chǎng)交易總量、資產(chǎn)交易均衡價(jià)格的剩余信息及風(fēng)險(xiǎn)厭惡內(nèi)部交易者收益的影響力,并得出結(jié)論：噪音對(duì)市場(chǎng)干擾程度愈小(σε2愈小),就愈有利于內(nèi)部交易者(具有不完全信息)的收益；內(nèi)部交易者的交易就愈活躍；交易均衡價(jià)格包含資產(chǎn)價(jià)值信息就愈多。最后,對(duì)本文研究?jī)?nèi)容進(jìn)行了總結(jié),并對(duì)內(nèi)部交易問題的末來研究工作進(jìn)行了展望。
[Abstract]:In the financial asset trading market, there are some traders who make use of known asset value information to conduct asset transactions, which are called internal trading problems. Since Kyle put forward the model of internal trading in 1985, It has aroused great concern and enthusiasm among many experts and scholars at home and abroad, and has made many research achievements. At present, One of the hotspots of the research on the behavior of financial asset trading is the issue of internal trading. The main research work of this thesis is as follows: 1.Discusses the research background and significance of the internal transaction problem, summarizes and comments the domestic and foreign research literature on the internal transaction. The theoretical basis and classical model are expounded, summarized and analyzed. 3. On the basis of revising the hypothesis of linear equilibrium in the model of Kylefield 1985 (classical model of internal transaction problem), According to Nash equilibrium theory, affine theory and stochastic analysis theory, we discuss all the information that internal traders do not fully know the value of assets. In this paper, three new equilibrium models are established for two periods of intra-transaction dynamic game: model 1: risk aversion equilibrium model, model 2: risk preference equilibrium model, model 1: risk aversion equilibrium model, model 2: risk preference equilibrium model. Model 3: risk neutral equilibrium model, and find the Nash equilibrium solution of these three equilibrium models. The influence of the fluctuation degree of medium noise 蔚 (蟽 蔚 2) on the depth of the market, the trading volume and the total trading volume of the internal trader, the residual information of the equilibrium price of the asset transaction and the risk aversion to the income of the internal trader are analyzed. It is concluded that the less noise interferes with the market (蟽 蔚 2 is smaller, the better the return of internal traders (with incomplete information), the more active the trades of internal traders are. The more information on asset value is included in the equilibrium price of transaction, the more the content of this paper is summarized, and the future research work of internal transaction is prospected.
【學(xué)位授予單位】：長(zhǎng)沙理工大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F830.9;F224
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本文編號(hào)：1574234