Concentrated Equilibrium and Intraday Patterns in Financial Markets
Concentrated Equilibrium and Intraday Patterns in Financial Markets
复制标题
金融市场的集中均衡和盘中模式
DOI：
10.1080/1350486x.2012.656996
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发表时间：
2013
影响因子：
--
通讯作者：
R. and K. Nishide
中科院分区：
文献类型：
--
作者：
Ishii;R. and K. Nishide
本文将做市商的内生参与引入到一个具有长期不对称信息的Kyle模型中。在我们的模型中，合理的参数值，交易量和价格波动性显示了一个U形的日内模式，经常观察到在实际的金融市场。它将表明，该模式不仅是由流动性交易者的交易行为，但也由做市商。我们的研究结果揭示了新的风格化的事实，贸易集中在开放和关闭期间。
We introduce endogenous participation of market makers into a Kyle-type model with long-lived asymmetric information. In our model with plausible parameter values, the trading volume and price volatility show a U-shaped intraday pattern, often observed in actual financial markets. It will be shown that the pattern is caused not only by the trading behaviour of liquidity traders but also by that of market makers. Our findings shed new light on the stylized fact of the trade concentration at the opening and closing periods.