STRATEGIC TRADING UNDER CONDITION OF HETEROGENEOUS INFORMATION

摘要：

Considering the time of receiving information and precision of information content are heterogeneous a mong different informed traders, this paper establishes a two-period strategic gamble model under the condition of heterogeneous information, to examine the trading strategy and price behavior. It proved that there existed a linear equilibrium when some special condition is satisfied and gave the analytical form of equilibrium price and the order submission strategy of different traders. Furthermore, it showed that there exists some correlation a mong the trading strategy of each kind of information-basod traders, which can explain the herding effect from the point of view of the information. It also discovered that there existed momentum between sequent price moves under some condition.

关键词： heterogeneous information strategic trading equilibrium price

作者: Yutao Song Shancun Liu Yuanqi Zhu

作者单位: School of Economics and Management, Beihang University, Beijing, 100083, China

会议类型: 国际会议

会议名称: The Ninth International Conference on Industrial Management(第九届工业管理国际会议 ICIM2008)

会议地点: 日本大阪

会议语种:英文

页码: 926-933

在线出版日期: 2008-09-16（万方平台首次上网日期，不代表论文的发表时间）