An Intertemporal Model of Strategic Trading Under Asymmetric Information

机译：信息不对称下的战略交易跨时模型

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This paper develops a dynamic model of strategic trading under asymmetric information. Following a shock to public information, private information, or noise trading, the risk-averse informed agent behaves like a trend-chaser in the short run and a contrarian in the long run, and it may take a long time for the stock price to converge to its fundamental value. The orders of the informed agent are positively autocorrelated over a short period of time but negatively autocorrelated over a longer period of time. We find that the past order flows of the informed agent can be used to forecast future stock returns. There exists a positive relationship among trading volume, market impact cost, and price volatility.

机译：本文建立了不对称信息下的战略交易动态模型。在受到公共信息，私人信息或噪音交易的冲击之后，规避风险的代理在短期内表现得像趋势追赶者，而在长期内则表现为逆势派，因此股价可能要花费很长时间收敛到其基本价值。通知代理的订单在短时间内是正相关的，而在较长时间内是负相关的。我们发现，已知代理商的过去订单流可用于预测未来库存回报。交易量，市场影响成本和价格波动之间存在正相关关系。

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来源
《2008 China international conference in finance》|2008年|p.1-50|共50页
会议地点 Dalian(CN);Dalian(CN)
作者
Ming Guo; Hui Ou-Yang;
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作者单位

Department of Finance,Peking University ShenZhen School of Business;

Fixed Income Division,Lehman Brothers Japan Inc.;

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会议组织
原文格式 PDF
正文语种 eng
中图分类财政、金融;
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An Intertemporal Model of Strategic Trading Under Asymmetric Information

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