英文标题：
《Equilibrium price and optimal insider trading strategy under stochastic
liquidity with long memory》
---
作者：
Ben-zhang Yang, Xinjiang He, Nan-jing Huang
---
最新提交年份：
2019
---
英文摘要：
In this paper, the Kyle model of insider trading is extended by characterizing the trading volume with long memory and allowing the noise trading volatility to follow a general stochastic process. Under this newly revised model, the equilibrium conditions are determined, with which the optimal insider trading strategy, price impact and price volatility are obtained explicitly. The volatility of the price volatility appears excessive, which is a result of the fact that a more aggressive trading strategy is chosen by the insider when uninformed volume is higher. The optimal trading strategy turns out to possess the property of long memory, and the price impact is also affected by the fractional noise.
---
中文摘要：
本文对Kyle内幕交易模型进行了扩展，通过描述具有长记忆的交易量，并允许噪声交易波动遵循一般的随机过程。在这个新修正的模型下，确定了均衡条件，从而明确地得到了最优内幕交易策略、价格影响和价格波动率。价格波动的波动性似乎过大，这是因为内幕人士在未知情交易量较高时选择了更激进的交易策略。结果表明，最优交易策略具有长记忆性，价格影响也受到分数噪声的影响。
---
分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
--

---
PDF下载：
-->