GEORGE BOUZIANIS, LANE P. HUGHSTON, LEANDRO SÁNCHEZ-BETANCOURT
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引用次数: 0
摘要
我们考虑市场上的一对交易者,其中第二位交易者所掌握的信息是第一位交易者所掌握信息的严格子集。交易者根据有关一种证券的信息来定价,这种证券在未来的固定时间 T 支付随机现金流。市场信息的模型与 Brody、Hughston 和 Macrina 的方案一致。交易者知道现金流的风险中性分布,他们以固定的乘法买卖价差定价,并向博弈主宰者报告他们的价格,当其中一个交易者的买入价超过另一个交易者的卖出价时,博弈主宰者就宣布交易达成。我们证明,第一个交易者的头寸价值严格大于第二个交易者的头寸价值。我们通过模拟研究对结果进行了分析,并将其推广到以下情况:(a) 交易者分等级;(b) 存在多个连续交易;(c) 存在库存厌恶。在这些情况下,我们证明信息优于策略。
We consider a pair of traders in a market where the information available to the second trader is a strict subset of the information available to the first trader. The traders make prices based on information concerning a security that pays a random cash flow at a fixed time in the future. Market information is modeled in line with the scheme of Brody, Hughston, and Macrina. The risk-neutral distribution of the cash flow is known to the traders, who make prices with a fixed multiplicative bid-offer spread and report their prices to a game master who declares that a trade has been made when the bid price of one of the traders crosses the offer price of the other. We prove that the value of the first trader’s position is strictly greater than that of the second. The results are analyzed by use of simulation studies and generalized to situations where (a) there is a hierarchy of traders, (b) there are multiple successive trades, and (c) there is inventory aversion. In these settings, we show that information is superior to strategy.
期刊介绍:
The shift of the financial market towards the general use of advanced mathematical methods has led to the introduction of state-of-the-art quantitative tools into the world of finance. The International Journal of Theoretical and Applied Finance (IJTAF) brings together international experts involved in the mathematical modelling of financial instruments as well as the application of these models to global financial markets. The development of complex financial products has led to new challenges to the regulatory bodies. Financial instruments that have been designed to serve the needs of the mature capitals market need to be adapted for application in the emerging markets.