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统计套利中额外信息的价值衡量

文章 arXiv papers · 作者: Dorje C. Brody et al.
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总结

本文提出一个非对称信息模型：普通市场参与者观察到有关资产未来现金流的含噪信息，而一名交易者还会收到单独的含噪信号。这个额外信号可能与市场信息共享噪声。知情交易者在考虑新增风险的同时，利用该信号识别统计套利机会。

模型以价格与现金流之间的互信息衡量普通参与者掌握的信息，再比较知情参与者与一般参与者的这一指标，以评估交易者额外信号的价值。当信噪比事先已知时，两者之差非负。作者还构造了交易策略，以展示如何利用额外信息获利。本文提供理论框架和策略构造，但未提供实证验证、实施细节，也没有证据表明这些策略在真实交易成本和市场条件下的表现如何。

核心观点

  • 模型让一名交易者在市场共享信号之外获得额外的含噪信息来源。
  • 价格与现金流之间的互信息用于衡量一般参与者可获得的信息。
  • 额外信号的价值定义为它给知情交易者带来的互信息增量。
  • 当信噪比事先已知时，信息价值之差非负。
  • 构造的策略展示了该信号如何支持统计套利，同时也需承担新增风险。

标签

套利统计学风险管理
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# Informed Traders


# Informed Traders









An asymmetric information model is introduced for the situation in which there is a small agent who is more susceptible to the flow of information in the market than the general market participant, and who tries to implement strategies based on the additional information. In this model market participants have access to a stream of noisy information concerning the future return of an asset, whereas the informed trader has access to a further information source which is obscured by an additional noise that may be correlated with the market noise. The informed trader uses the extraneous information source to seek statistical arbitrage opportunities, while at the same time accommodating the additional risk. The amount of information available to the general market participant concerning the asset return is measured by the mutual information of the asset price and the associated cash flow. The worth of the additional information source is then measured in terms of the difference of mutual information between the general market participant and the informed trader. This difference is shown to be nonnegative when the signal-to-noise ratio of the information flow is known in advance. Explicit trading strategies leading to statistical arbitrage opportunities, taking advantage of the additional information, are constructed, illustrating how excess information can be translated into profit.

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。