標題: 在廣義的Kyle離散時間模型下探討內線交易者的最佳投資策略
Optimal Insider Trading Strategies in the Generalized Discrete-time Kyle’s Models
作者: 許珮蓉
Hsu, Pei-Jung
吳慶堂
Wu, Ching-Tang
應用數學系數學建模與科學計算碩士班
關鍵字: 內線交易;Kyle線性模型;連續均衡點;分數布朗運動;利潤最大化;市場效率;insider trading;Kyle's linear model;sequential equilibrium;fractional Brownian motion;profit maximization;market efficiency
公開日期: 2012
摘要: KYLE[1985]中探討了線性的內線交易模型,並且得到一組唯一的線性均衡解。在本篇論文中,我們考慮相似的交易模型,並做兩部分的調整。第一部分,我們討論當市場訂價機制不再是線型函數而為指數函數時,是否存在均衡解。第二部分,我們依然使用KYLE的線性模型,但不同點在於我們不使用布朗運動,而改用分數布朗運動作為一般交易者的交易總量變化過程,然後在此模型下探討是否存在連續競價均衡解。
KYLE [1985] proposed a model of insider trading in discrete-time and continuous time, and obtained a unique equilibrium. In this thesis, we consider two generalized discrete-time models. The first part, we discuss whether there exists an equilibrium when the pricing rule is no more a linear function but an exponential function. The second part, instead of classical Brownian motion, in Kyle’s linear model we investigate a model with a fractional Brownian motion as noise traders’ trading volume, and discuss if there exists a sequential equilibrium under this model.
URI: http://140.113.39.130/cdrfb3/record/nctu/#GT079920502
http://hdl.handle.net/11536/49694
顯示於類別:畢業論文