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2017-01-23 发布于北京
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A Study of the Impact of Signal Distortions on the Behavior of Internal Traders.doc

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A Study of the Impact of Signal Distortions on the Behavior of Internal Traders.doc

A Study of the Impact of Signal Distortions on the Behavior of Internal Traders 　　Abstract. In this paper was based on Kyle （1985） model， considering the conduction problem of the value of internal information， and established a single term insider trading by trading model to consider the case of signal distortions for the true value of the risky assets. And studied the effect of internal information has on the nature of internal trading strategies and market under a more general assumption condition. And compare the conclusion with Kyle （1985） model. 　　Key words： insider trading， rational expectations equilibrium of the value signal noise， Kyle model 　　1.Introduction 　　Every day， a large number of assets by investors trading the financial markets， these assets include stocks， bonds， warrants or financial derivatives. And investors expected future income trading assets according to available information to make a judgment. This information will not only affect the behavior of the traders but also affect the price of the asset. Internal information has a significant impact on prices of trading asset， and has not been made public. Insider trading refers to the behavior of insiders take advantage of internal information access to internal information for the trading of financial assets. Insider trading is a direct result of the trading asset information on internal transactions and external transactions Shared information asymmetry， transaction information structure has changed enormously， which have a major impact on trading in asset prices in the financial markets in the run and trader behavior. 　　The early studies focused on the impact of insider trading for the effectiveness of the financial market. Kyle （1985）， as the most representative literature， analyzed the situation of a risk-neutral internal traders and market makers， as well as more than unwitting noise traders. Back （1992） from the extension of the continuous-time framework， Holden and Subrahmany