论文标题
基于信息的交易
Information-Based Trading
论文作者
论文摘要
我们考虑在一个市场上的一对交易者，其中第二个交易者可用的信息是第一个交易者可用信息的严格子集。贸易商根据可用的有关证券的可用信息进行价格，该证券将来在固定时间$ t $中支付随机现金流量。市场信息是根据Brody，Hughston＆Macrina（2007，2008）和Brody，Davis，Friedman＆Hughston（2009）的计划进行建模的。交易者已知现金流的风险中立分配，他们以固定的乘法竞标商的差异并将其价格报告给游戏大师，后者宣布，当一位交易者的出价价格越过另一个交易者的价格价格时已经进行了交易。我们证明，第一个交易者头寸的价值严格大于第二个交易者的立场。通过使用仿真研究来分析结果，并将其概括为（a）有贸易商等级的情况，（b）有多个连续的交易，并且（c）存在库存厌恶。
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 the information available concerning a security that pays a random cash flow at a fixed time $T$ in the future. Market information is modelled in line with the scheme of Brody, Hughston & Macrina (2007, 2008) and Brody, Davis, Friedman & Hughston (2009). 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.
