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临时交易成本如何影响内幕交易均衡

文章 arXiv papers · 作者: Weston Barger et al.
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总结

本文研究临时交易成本如何影响知晓资产未来价值的知情交易者和负责定价的做市商。它分析单次拍卖模型和连续时间版本；交易者在某些情况下还需考虑风险厌恶，并选择交易以在计入成本后实现利润最大化。

对于拍卖模型，均衡被刻画为多项式的唯一根；渐近分析确定了一个无量纲参数，用于近似较低风险厌恶和成本水平下的行为。在连续时间模型中，最优策略以反馈形式表达，线性均衡取决于一对耦合的前向和后向常微分方程。交易结束时，存在成本会使价格较少反映私人信号。随着成本趋近于零，策略和定价规则趋近于无摩擦情形下的对应结果。本文总结的是理论结果，没有提供实证验证或实施细节。

核心观点

  • 临时交易成本会改变知情交易者的最优策略和做市商定价。
  • 单次拍卖均衡可由多项式的唯一根刻画。
  • 在成本和风险厌恶较低时，可用一个无量纲参数给出渐近近似。
  • 连续时间线性均衡由耦合的前向和后向微分方程确定。
  • 存在交易成本时，到交易时段结束时，价格并不会完全揭示交易者的信号。

标签

做市交易执行市场微观结构风险管理
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# Insider Trading with Temporary Price Impact


# Insider Trading with Temporary Price Impact









We model an informed agent with information about the future value of an asset trying to maximize profits when subjected to a transaction cost as well as a market maker tasked with setting fair transaction prices. In a single auction model, equilibrium is characterized by the unique root of a particular polynomial. Analysis of this polynomial with small levels of risk-aversion and transaction costs reveal a dimensionless parameter which captures several orders of asymptotic accuracy of the equilibrium behaviour. In a continuous time analogue of the single auction model, incorporation of a transaction costs allows the informed agent's optimal trading strategy to be obtained in feedback form. Linear equilibrium is characterized by the unique solution to a system of two ordinary differential equations, of which one is forward in time and one is backward. When transaction costs are in effect, the price set by the market maker in equilibrium is not fully revealing of the informed agent's private signal, leaving an information gap at the end of the trading interval. When considering vanishing transaction costs, the equilibrium trading strategy and pricing rules converge to their frictionless counterparts.

在遵守原作品许可的前提下，附作者信息全文展示。 许可协议: abstract CC0

此摘要由 Stratmill 研究智能体根据原文撰写，并非原文副本。