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dc.contributor.author許珮蓉en_US
dc.contributor.authorHsu, Pei-Jungen_US
dc.contributor.author吳慶堂en_US
dc.contributor.authorWu, Ching-Tangen_US
dc.date.accessioned2014-12-12T01:57:21Z-
dc.date.available2014-12-12T01:57:21Z-
dc.date.issued2012en_US
dc.identifier.urihttp://140.113.39.130/cdrfb3/record/nctu/#GT079920502en_US
dc.identifier.urihttp://hdl.handle.net/11536/49694-
dc.description.abstractKYLE[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。zh_TW
dc.description.abstractKYLE [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.en_US
dc.language.isoen_USen_US
dc.subject內線交易zh_TW
dc.subjectKyle線性模型zh_TW
dc.subject連續均衡點zh_TW
dc.subject分數布朗運動zh_TW
dc.subject利潤最大化zh_TW
dc.subject市場效率zh_TW
dc.subjectinsider tradingen_US
dc.subjectKyle's linear modelen_US
dc.subjectsequential equilibriumen_US
dc.subjectfractional Brownian motionen_US
dc.subjectprofit maximizationen_US
dc.subjectmarket efficiencyen_US
dc.title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zh_TW
dc.titleOptimal Insider Trading Strategies in the Generalized Discrete-time Kyle’s Modelsen_US
dc.typeThesisen_US
dc.contributor.department應用數學系數學建模與科學計算碩士班zh_TW
Appears in Collections:Thesis