Cladistic Asset Pricing

分支资产定价

• 批准号: 0317700
• 负责人: Bart Taub
• 金额: --
• 依托单位: University of Illinois at Urbana-Champaign
• 依托单位国家: 美国
• 项目类别: Continuing Grant
• 财政年份: 2003
• 资助国家: 美国
• 起止时间: 2003-11-01 至 2007-10-31
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=0317700&HistoricalAwards=false
• 关键词: Cladistic; Asset; Pricing

Understanding how asset prices respond to strategic interplay among differentially informed agents is an important requirement for efficient regulation security markets, yet this phenomenon is not well understood and modeled. The proposed research will explore the behavior of stock markets when there are speculative traders who possess information that is not available to the market as a whole. In such an environment, one wishes to determine how the strategic interplay between differentially-informed agents affects market prices, volume and profits over time.In many of the contexts in which speculative traders have private information about a firm's value, they will continue to have access to new, long-lived information over the time on a recurring basis. For example, corporate insiders will not only have information about current and past earnings; they likely will be privy to new information about earnings. Investors, too, often focus on a small number of stocks or narrow sectors on which to do research. Their accumulated expertise leaves them better situated to evaluate the information both immediately after they learn it, and when it arrives in the future.The profession has not developed a methodology that can analyze equilibrium outcomes when multiple agents have recurring access to private information; much less characterize outcomes in such environments. The proposed research will develop new methods that can tractably encompass both current and past information. The main innovation in the model is to assume that the information received by each individual as an AR(1) process, thus allowing for an equilibrium solution. This results then makes it possible to answer several questions, such as: How do informed agents use current and past signals, and the information in current and past prices, to determine how much to trade at each date? What are the consequences for equilibrium price dynamics?The scope of the methods makes it possible to explore the central issues in the theory of asset markets such as: the effect of competition among informed agents on strategic trading and equilibrium price dynamics; whether and when increased competition leads to more information being revealed through price, and how this is related to the 'age' of the information; how the structure of the information affects the strategic trading behavior, pricing and information revelation; characteristics of market when some traders are better informed than others; the effects of information about one asset on the prices and dynamics of order flows of other assets; and the effects of collusion on price and order flows, and ways to detect such collusion empirically.The methodology is tractable enough to be broadly used to study equity trading models, as well as the analyses of a broad range of economic models in which information is embodied in prices.

了解资产价格如何对不同信息主体之间的战略相互作用做出反应是有效监管证券市场的重要要求，但这种现象并没有得到很好的理解和建模。 拟议的研究将探讨股票市场的行为时，有投机交易者谁拥有的信息是不提供给市场作为一个整体。 在这样的环境中，人们希望确定不同的知情代理人之间的战略相互作用如何影响市场价格，随着时间的推移，在许多情况下，投机交易者有私人信息的公司的价值，他们将继续有机会获得新的，长期存在的信息随着时间的推移，在一个经常性的基础上。 例如，公司内部人士不仅会获得当前和过去收益的信息，他们还可能会了解有关收益的新信息。 投资者也经常关注少数股票或狭窄的行业进行研究。 他们积累的专业知识使他们能够更好地评估信息，无论是在他们学习信息之后，还是在未来，该专业还没有开发出一种方法来分析多个代理人反复访问私人信息时的均衡结果;更不用说描述这种环境下的结果了。 拟议中的研究将开发新的方法，可以追踪包括当前和过去的信息。该模型的主要创新是假设每个个体接收的信息是AR（1）过程，从而允许均衡解。这一结果，然后有可能回答几个问题，如：知情代理人如何使用当前和过去的信号，以及在当前和过去的价格信息，以确定在每个日期交易多少？ 均衡价格动态会产生什么后果？该方法的范围使人们有可能探索在资产市场理论的核心问题，如：战略交易和均衡价格动态的知情代理人之间的竞争的影响，是否以及何时增加竞争导致更多的信息被揭示通过价格，以及如何这是有关的“年龄”的信息;信息结构如何影响策略交易行为、定价和信息披露;当一些交易者比其他交易者更好地了解信息时市场的特征;关于一种资产的信息对其他资产的价格和订单流动态的影响;以及合谋对价格和订单流的影响，以及实证检测这种合谋的方法。该方法易于处理，足以广泛用于研究股票交易模型，以及分析广泛的经济模型，其中信息体现在价格中。