英文标题：
《Asymptotic Glosten Milgrom equilibrium》
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作者：
Cheng Li and Hao Xing
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最新提交年份：
2015
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英文摘要：
This paper studies the Glosten Milgrom model whose risky asset value admits an arbitrary discrete distribution. Contrast to existing results on insider\'s models, the insider\'s optimal strategy in this model, if exists, is not of feedback type. Therefore a weak formulation of equilibrium is proposed. In this weak formulation, the inconspicuous trade theorem still holds, but the optimality for the insider\'s strategy is not enforced. However, the insider can employ some feedback strategy whose associated expected profit is close to the optimal value, when the order size is small. Moreover this discrepancy converges to zero when the order size diminishes. The existence of such a weak equilibrium is established, in which the insider\'s strategy converges to the Kyle optimal strategy when the order size goes to zero.
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中文摘要：
研究了风险资产价值服从任意离散分布的Glosten-Milgrom模型。与内部人模型的现有结果相比，该模型中的内部人最优策略（如果存在）不是反馈类型。因此，提出了一个弱平衡公式。在这个较弱的公式中，不显眼的交易定理仍然成立，但内幕策略的最优性没有得到实施。然而，当订单规模较小时，内部人可以采用相关预期利润接近最优值的反馈策略。此外，当订单规模减小时，这种差异收敛到零。证明了这种弱均衡的存在性，即当订单量为零时，内部人的策略收敛到Kyle最优策略。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Trading and Market Microstructure 交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，基于代理的建模和做市
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一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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