內(nèi)部交易者交易行為分析——基于信息不對(duì)稱分析.pdf

1、華中科技大學(xué)碩士學(xué)位論文內(nèi)部交易者交易行為分析——基于信息不對(duì)稱分析姓名：暢通申請(qǐng)學(xué)位級(jí)別：碩士專業(yè)：數(shù)量經(jīng)濟(jì)學(xué)指導(dǎo)教師：唐齊鳴20040427華中科技大學(xué)碩士學(xué)位論文華中科技大學(xué)碩士學(xué)位論文IIAbstractConsideringtheinsider’sproblemofinfmationthispaperisbasedontheKyle（1985）’smodelwhichmainlyanalyzestheinsider’strad

2、ingbehaviiscomposedofthefollowingfourparts.Inthesecondpartitisassumedreasonablythatinsidercannotobservetheexpostliquidationvalueoftheriskyassetexactlybuttheycangetthecrelativevaluesignal.Thedisttionofsignalisattributedth

3、ataromoccurrencewhichiscrelativewithvalueoftheriskasset.WiththehypothesisaboveKyle（1985）modelismadeuseoftheresearching.Itisfindthatthedisttionofsignalobservablyeffectsthemarketdepththeinfmativenessofpricetheinsider’strad

4、ing.Inthethirdparttheconclusionsofthemodeldescribedinthesecondpartarecomparedwithaknownmodelinwhichthesignalwasdescribedasthelinearfunctionofthevalue.Afterthecontrastthecausationapproachofthesignal’seffectsisclearer.Inth

5、efourthpartthesingleauctionmodeldescribedinthesecondpartisdevelopedtothesequentialauctionmodelthecontinuousauctionmodelrespectively.Inthesemodelstherestillaretheeffectsofthesignal.Itisshowedthatinthecontinuousauctionmode