卖空限制下知情交易的测度及识别研究

经典的测量知情交易概率的模型默认交易者可以无限制的按照私有信息进行卖空交易,而目前我国股票市场存在卖空限制,直接将经典模型应用到我国股票市场时会使测量结果出现偏差。考虑到我国股票市场现状,本文在经典的知情交易概率模型中引入两个卖空限制参数,构建了本文的SC-TPIN模型。通过对融券标的中发生利空消息的股票样本进行实证分析,证实了本文构建的SC-TPIN模型估计出的结果与实际情况相符合。本文还以SC-TPIN模型估计出的SCTPIN值为参照,基于样本股票的低频数据构建了知情交易识别指标组,并使用数据挖掘中的支持向量机算法、KNN算法及Logit模型对黑白样本的知情交易高低情况进行识别比较,构建知情交易识别体系,发现使用支持向量机算法识别全样本的正确率达到了89%,识别效果较理想。     

中国新三板市场阶段性集合竞价制度的价格发现研究

市场微观结构理论表明交易机制对资产价格的形成过程具有重要影响。本文以中国新三板交易机制改革为背景,从理论上分析了阶段性集合竞价制度的市场出清过程。阶段性集合竞价制度的核心在于市场出清时间间隔的设定。本文构建了一个存在信息摩擦和知情交易者学习机制的集合竞价市场出清模型,讨论了市场出清时间间隔对价格发现效率、资产价值不确定性和流动性风险的影响。研究发现:(1)在完美信息条件下,如果对市场规模较大和价值波动率较高的资产设定较短的市场出清时间间隔,将会降低投资者的流动性风险,提升市场质量;(2)在不完美信息条件下,除市场规模和资产价值波动率之外,信息不对称程度和知情交易者比例也是影响最优市场出清频率的重要因素;(3)在不完美信息条件下,对价值波动率较低的资产缩短市场出清时间间隔才能降低流动性风险,这与完美信息条件下的结论相反。     

指令驱动市场中的组合下单策略研究

已有研究一般直接假设指令驱动市场中的知情交易者总是选择市价单进行交易，本文则基于现实交易状况．建立了一个理论模型．分析拥有私有信息的知情交易者组合使用限价委托单和市价委托单的决策问题．具体给出了不同私有信息状态下知情交易者的组合下单选择。     

Information on jump sizes and hedging

We study a hedging problem in a market where traders have various levels of information. The exclusive information available only to informed traders is modelled by a diffusion process rather than discrete arrivals of new information. The asset price follows a jump–diffusion process and an information process affects jump sizes of the asset price. We find the local risk minimization hedging strategy of informed traders. Numerical examples as well as their comparison with the Black–Scholes strategy are provided via Monte Carlo.     

Partially informed noise traders

The single auction equilibrium of Kyle??s (1985) is studied, in which noise traders may be partially informed, or alternatively they can be manipulated. Unlike Kyle??s assumption that the quantity traded by the noise traders is independent of the asset value, we assume that the noise traders are able to correlate their trade with the true price. This has several implications for the equilibrium, one being that the informed trader??s expected profits decrease as the noise traders?? ability to correlate positively improve. In the limit, the noise traders do not lose on average, and the informed trader makes zero expected profits. When the correlation is negative, we interpret this as manipulation. In this case the insider makes the highest expected profits, and the informativeness of prices is at its minimum.     

On the negative value of information in informationally inefficient markets: Calculations for large number of traders

In informationally inefficient markets, classical decision theory assumes the value of information to be positive. Recent developments, however, contradict this paradigm. Schredelseker [Schredelseker, K., 2001. Is the usefulness approach useful? Some reflections on the utility of public information. In: McLeay, S., Riccaboni, A. (Eds.), Contemporary Issues in Accounting Regulation, Kluwer Academic Publishers, Boston, pp. 135–153] proposed a simulation model wherein a single security is traded among non-cooperating and asymetrically informed traders. One of the main results was the fact that badly informed traders could expect higher returns than traders with more information. But Schredelseker was able to give exact results for a small number of traders only. The aim of this paper is to give reliable results for a sufficiently large number of traders for both the expected gain and the probability of gain larger than zero. We are using combinatorial methods in order to get exact results for badly informed traders and simulation techniques for results of traders with higher level of information. The exact results are used (error between exact results and simulation results for the first traders) to determine the number of samples which have to be drawn with the simulation algorithm.     

Speculative dynamics with bounded rationality learning

We study a linear model for a future market characterized by the presence of different classes of traders. In the market there are three classes of traders: rational traders, feedback traders and fundamentalist traders. Each class of traders is described by a trading strategy and by an information set about the fundamental. The analysis is developed under bounded rationality, rational traders forming expectations do not know the “true” model but believe in a misspecified model. The convergence of the learning activity to the Rational Expectations Equilibria of the model is analyzed. Two different learning mechanisms are studied: the Ordinary Least Squares algorithm and the Least Mean Squares algorithm. The main goal of the study is to analyze how the presence of different classes of traders in the market affects the robustness of the Rational Expectations Equilibria of the model with respect to bounded rationality learning. Moreover we verify the claim that bubbles and erratic behavior in the stock price dynamics may arise because of learning non-convergence to Rational Expectations Equilibria. The results show that if the Ordinary Least Squares algorithm is used by the agents to update beliefs, convergence to one of the two Rational Expectations Equilibria of the model is ensured only if there are positive feedback traders in the market. On the contrary, the Least Mean Squares algorithm guarantees convergence to the Rational Expectations Equilibria given an appropriate initial belief.     

Concentrated Equilibrium and Intraday Patterns in Financial Markets

Abstract

We introduce endogenous participation of market makers into a Kyle-type model with long-lived asymmetric information. In our model with plausible parameter values, the trading volume and price volatility show a U-shaped intraday pattern, often observed in actual financial markets. It will be shown that the pattern is caused not only by the trading behaviour of liquidity traders but also by that of market makers. Our findings shed new light on the stylized fact of the trade concentration at the opening and closing periods.     

Quantum model for the price dynamics: The problem of smoothness of trajectories

We apply methods of quantum mechanics to mathematical modelling of price dynamics in a financial market. We propose to describe behavioral financial factors (e.g., expectations of traders) by using the pilot wave (Bohmian) model of quantum mechanics. Our model is a quantum-like model of the financial market, cf. with works of W. Segal, I.E. Segal, E. Haven. In this paper we study the problem of smoothness of price-trajectories in the Bohmian financial model. We show that even the smooth evolution of the financial pilot wave ψ(t,x) (representing expectations of traders) can induce jumps of prices of shares.     

Fuzzy relations for the analysis of traders’ preferences in an information market game

In this paper we focus on preference and decision data gathered during a computer-supported information market game in which 35 students participated during seven consecutive trading sessions. The participants’ individual preferences on the market shares are collected to calculate a collective preference ranking using the Borda social choice method. Comparing this preference ranking to the shares’ actual market ranking resulting from the participants’ trading, we find a statistically significant difference between both rankings. As the preferences established by market behavior cannot be adequately explained through a social choice rule, we propose an alternative explanation based on the herd behavior phenomenon where traders imitate the most successful trader in the market. Using a decision analysis technique based on fuzzy relations, we study the participants’ rankings of the best share in the market during 7 weeks and compare the most successful trader to the other traders. The results from our analysis show that a substantial number of traders is indeed following the market leader.     

信息优势、有限关注与知情交易者竞争交易

在具有一个风险资产的两期交易模型中,刻画了两类知情交易者:一个内部交易者和多个市场专家,内部交易者获得更精确的信息,而市场专家是有限关注的,根据投入的关注度评价获得的信息质量。通过求解线性均衡条件下关注度和市场竞争程度对订单流、流动性、期望收益和市场效率等市场微观特征的影响,结果表明:市场专家的交易强度随关注度的增大而增强,而内部交易者的交易强度随关注度的增大而减弱;市场流动性随着关注度的增大而增大;当市场专家数量较少时,市场专家的收益随着关注度的增大而增大,当市场专家数量较多时,市场专家的收益随着关注度的增大先增大然后缓慢降低。     

Convergence results for the indifference value based on the stability of BSDEs

We study the exponential utility indifference value h for a contingent claim H in an incomplete market driven by two Brownian motions. The claim H depends on a non-tradable asset variably correlated with the traded asset available for hedging. We provide an explicit sequence that converges to h, complementing the structural results for h known from the literature. Our study is based on a convergence result for quadratic backward stochastic differential equations. This convergence result, which we prove in a general continuous filtration under weak conditions, also yields that the indifference value in a setting with trading constraints enjoys a continuity property in the constraints.     

基于交易量的最优指令提交策略模型

构建了两个价位的指令驱动市场模型.交易者根据自己的估值选择提交限价指令或市价指令.假设交易量作为交易者的禀赋,可在一个连续区间上任意取值,从而提出限价收益曲线的概念,并结合该曲线给出基于交易量的最优指令提交策略时.最优指令提交策略不仅依赖于交易者的私人估值、市场深度和价差,同时依赖于交易者所持交易量.模型揭示以下几点微观特征:1.私人估值偏离证券基本价值较大的交易者倾向于提交市价订单,而私人估值接近证券基本价值的交易者倾向于提交限价订单;2.当市场深度较小时,交易者倾向于限价单;而市场深度较大时,交易者倾向于提交市价单;3.随价差的增加,交易者更倾向于提交限价订单.     

Bond Prices Under Information Asymmetry and a Short Rate with Instantaneous Feedback

Methodology and Computing in Applied Probability - We study an information asymmetry problem in a bond market. Especially we derive bond price dynamics of traders with different levels of...     

Insider behavior under different market structures: experimental evidence on trading patterns,manipulation, and profitability

Central European Journal of Operations Research - We conduct laboratory experiments incorporating different market structures and insiders who compete with imperfectly informed traders. The...     

An hp‐adaptive Newton‐Galerkin finite element procedure for semilinear boundary value problems

In this paper, we develop an hp‐adaptive procedure for the numerical solution of general, semilinear elliptic boundary value problems in 1d, with possible singular perturbations. Our approach combines both a prediction‐type adaptive Newton method and an hp‐version adaptive finite element discretization (based on a robust a posteriori residual analysis), thereby leading to a fully hp‐adaptive Newton–Galerkin scheme. Numerical experiments underline the robustness and reliability of the proposed approach for various examples. Copyright © 2016 John Wiley & Sons, Ltd.     

Early box office prediction in China’s film market based on a stacking fusion model

Artificial intelligence has been increasingly employed to improve operations for various firms and industries. In this study, we construct a box office revenue prediction system for a film at its early stage of production, which can help management overcome resource allocation challenges considering the significant investment and risk for the whole film production. In this research, we focus on China’s film market, the second-largest box office in the world. Our model is based on data regarding the nature of a film itself without word-of-mouth data from social platforms. Combining extreme gradient boosting, random forest, light gradient boosting machine, k-nearest neighbor algorithm, and stacking model fusion theory, we establish a stacking model for film box office prediction. Our empirical results show that the model exhibits good prediction accuracy, with its 1-Away accuracy being 86.46%. Moreover, our results show that star influence has the strongest predictive power in this model.

     

Asymmetric information A laboratory experimental analysis

Modern information systems technology, including expanded availability of local area networks, provides potentially fertile means for studying information related problems across functional business areas. Our work demonstrates the development and use of a networked system designed to investigate a traditionally controversial problem in financial markets, the impact of insider information. The research methodology used to tackle this issue incorporates the use of a networked system that we developed to conduct carefully controlled laboratory experiments. We emphasize this methodology as an alternative to techniques using recorded historical market data. The latter approaches are limited by an inability to accurately identify which traders possess and access inside information. Our system incorporates a communication and recording network among work stations with each station possessing stand alone decision support system capabilities. We demonstrate use of the system and present the results and accompanying analyses of a series of experiments relating to impacts of inside information.     

The asymptotic core,nucleolus and Shapley value of smooth market games with symmetric large players

We examine the asymptotic nucleolus of a smooth and symmetric oligopoly with an atomless sector in a transferable utility (TU) market game. We provide sufficient conditions for the asymptotic core and the nucleolus to coincide with the unique TU competitive payoff distribution. This equivalence results from nucleolus of a finite TU market game belonging to its core, the core equivalence in a symmetric oligopoly with identical atoms and single-valuedness of the core in the limiting smooth game. In some cases (but not always), the asymptotic Shapley value is more favourable for the large traders than the nucleolus, in contrast to the monopoly case (Einy et al. in J Econ Theory 89(2):186–206, 1999), where the nucleolus allocation is larger than the Shapley value for the atom.     

A guided tour of new results on “Trade execution in illiquid markets”

We give an overview of the dissertation “Trade execution in illiquid markets: Optimal stochastic control and multi-agent equilibria” (Schöneborn, PhD thesis, TU Berlin, 2008). The dissertation focuses on two questions in the field of optimal trade execution strategies: First, how should traders best sell an illiquid asset position if they want to maximize the expected utility of liquidation proceeds? And second, in a situation where one market participant needs to liquidate a position, what is the effect of other market participants obtaining advance information of this impending liquidation?