| 知情交易者的连续交易策略 |
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| 引用本文： | 张利兵,潘德惠.知情交易者的连续交易策略[J].系统管理学报,2004,13(3):250-254. |
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| 作者姓名： | 张利兵 潘德惠 |
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| 作者单位： | 东北大学,工商管理学院,沈阳,110004 |
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| 基金项目： | 国家重点科技攻关资助项目(97-562-03-01) |
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| 摘 要： | 研究了在交易费用和利率的条件下,知情交易者为获取最大期末财富所采取的指令提交策略。在考虑交易者指令流对价格变化产生影响的情况下,建立了知情交易者的随机最优控制模型,给出该模型满足的贝尔曼方程及知情交易者的最优指令提交速率,做出了合理的经济意义解释。
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| 关 键 词： | 知情交易者 未知情交易者 做市商 指令速率 |
| 文章编号： | 1005-2542(2004)03-0250-05 |
| 修稿时间： | 2003年7月4日 |
Study on Continuous Trading Strategy of Informed Trader in Financial Market |
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| ZHANG Li-bing,PAN De-hui.Study on Continuous Trading Strategy of Informed Trader in Financial Market[J].Systems Engineering Theory·Methodology·Applications,2004,13(3):250-254. |
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| Authors: | ZHANG Li-bing PAN De-hui |
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| Abstract: | This paper studied the trading strategy of an informed trader to maximize his final wealth under the condition of trading fee and interest rate. The stochastic control model of the informed trader was constructed, the Bellman equation of value function and the optimal strategy of informed trader when considering the effect of his own order on the stock price were given, and reasonable economic sense was then illustrated. |
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| Keywords: | informed trader uniformed trader market maker order velocity |
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