The optimal strategies of competitive inside traders with the existence of public information

摘要：

We studied the inside traders optimal strategies and the impact of public information on competitive insider trading in the context of Holden and Subrahmanyan(1992)s speculative market We explicitly described the unique linear equilibrium and found that competition among inside traders leads to more informative equilibrium price. Public information is detrimental for insiders and beneficial for the liquidity traders. Every insider also put a negative weight on the public information in formulating his optimal strategy, but the weight is bigger than that of Shunlong Luo (2001), where there is only one insider.

关键词： Optimal strategy market efficiency noise trader inside trader Optimal equilibrium

作者: Hong Liu Qingshan Yang Deqing Zhou

作者单位: China Economics and Management Academy, and CIAS, Central University of Finance and Economics, Beiji School of Mathematics and Statistics, Northeast Normal University, Changchun 130024, Jilin, P. R. Ch Institute of Applied Mathematics, Academy of Mathematics and Systems Science , C.A.S.. Beijing, 1001

会议类型: 国际会议

会议名称: 2010 International Conference on Computer,Mechatronics,Control and Electronic Engineering(2010计算机、机电、控制与电子工程国际会议 CMCE 2010)

会议地点: 长春

会议语种:英文

页码: 27-30

在线出版日期: 2010-08-24（万方平台首次上网日期，不代表论文的发表时间）