英文标题：
《Information and Trading Targets in a Dynamic Market Equilibrium》
---
作者：
Jin Hyuk Choi, Kasper Larsen, Duane J. Seppi
---
最新提交年份：
2015
---
英文摘要：
This paper investigates the equilibrium interactions between trading targets and private information in a multi-period Kyle (1985) market. There are two investors who each follow dynamic trading strategies: A strategic portfolio rebalancer who engages in order splitting to reach a cumulative trading target and an unconstrained strategic insider who trades on long-lived information. We consider cases in which the constrained rebalancer is partially informed as well as the special case in which the rebalancer is ex ante uninformed. We derive a linear Bayesian Nash equilibrium, describe an algorithm for computing such equilibria, and present numerical results on properties of these equilibria.
---
中文摘要：
本文研究了多周期Kyle（1985）市场中交易对象与私人信息之间的均衡相互作用。有两位投资者各自遵循动态交易策略：一位是战略投资组合再平衡者，他参与拆分以达到累积交易目标；另一位是不受约束的战略内幕人士，他利用长期信息进行交易。我们考虑受约束的再平衡者部分知情的情况，以及再平衡者事先未知情的特殊情况。我们推导了一个线性贝叶斯纳什均衡，描述了一种计算这种均衡的算法，并给出了关于这些均衡性质的数值结果。
---
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
--
一级分类：Quantitative Finance 数量金融学
二级分类：General Finance 一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
--

---
PDF下载：
-->