The Role of Information in Insider Trading with Stochastic Valuation

信息在随机估值内幕交易中的作用

• 批准号: 0720815
• 负责人: Ennio Stacchetti
• 金额: $ 37.6万
• 依托单位: New York University
• 依托单位国家: 美国
• 项目类别: Continuing Grant
• 财政年份: 2007
• 资助国家: 美国
• 起止时间: 2007-09-01 至 2012-08-31
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=0720815&HistoricalAwards=false
• 关键词: Role; Information; Insider; Trading; Stochastic

AbstractThe Role of Information in Insider Trading with Stochastic ValuationNSF Proposal Number: 0720815Ennio Stacchetti, New York UniversityMany economic situations involve transactions between a heterogeneous group of uninformed consumers and an agent possessing superior information. The project deals with models of strategic trading with asymmetric information. It investigates how informed traders transfer their private information to the market and how (and how much) they get compensated during this process. An insider continuously receives information about the fundamental value of an asset. The rest of the market only observes public information that includes the volume of trade and the prices of previous trades. The insider's informational advantage continues until an unpredictable time when a public announcement reveals the true fundamental value of the asset to all traders. The insider's optimal trading strategy aims to maximize her trading rents, while minimizing the `amount' of private information transferred to the market during this trade. On the other hand, the market maker acts in a competitive fashion, selecting prices that reflect all the public information about the fundamental value of the asset.The model introduces new information structures that vary with the frequency at which the insider observes the fundamental value. At one end, the single information model allows the insider to observe the asset's value only once. On the other end, the continuous information model gives the insider the ability to track constantly the evolution of the fundamental value. Intermediate cases in which the insider receives information at discrete times are also considered. The model may also include multiple insiders that have diverse information of heterogeneous quality.The project addresses a number of interesting questions: (i) How quickly is the insiders' private information released into the market? (ii) Do market prices ever become efficient? (iii) How does the informational structure affect how insiders use their privileged information? (iv) What are the implications of a random public-announcement time on trading strategies and market prices? (v) How does the equilibrium change in a model with multiple insiders with diverse information? The answer to these questions may vary substantially depending on the nature of the insider's private information. For instance, in the single information model, the insider prefers to trade rather cautiously and market prices become efficient only asymptotically. By contrast, in the continuous information case there exists a finite time, endogenously determined, at which market efficiency is reached and preserved thereafter. A striking feature of this equilibrium is that the insider still collects positive rents after this time, despite the fact that market prices reflect all her information.This research will contribute to our understanding of how asymmetric information affects financial markets. On the practical side, financial institutions, government regulators and policy makers will be able to use its results to measure the impact of insider trading on market prices, on efficiency, and on the welfare of uninformed and informed traders.

摘要：信息在随机估值内幕交易中的作用纽约大学，ennio Stacchetti许多经济情况都涉及不知情的异质消费者群体与拥有优越信息的代理人之间的交易。该项目涉及信息不对称的战略交易模型。它调查知情的交易者如何将他们的私人信息转移到市场，以及他们在这个过程中如何（以及多少）得到补偿。内幕人不断地收到有关资产基本价值的信息。市场的其余部分只观察包括交易量和先前交易价格在内的公开信息。内幕人士的信息优势会一直持续下去，直到一个不可预测的时刻，公开公告向所有交易者揭示了该资产的真正基本价值。内幕人士的最优交易策略旨在最大化其交易租金，同时最小化交易过程中转移到市场的私人信息的“量”。另一方面，做市商以竞争的方式行事，选择反映有关资产基本价值的所有公开信息的价格。该模型引入了新的信息结构，这些信息结构随着内部人观察基本价值的频率而变化。在一端，单一信息模型允许内部人员只观察一次资产的价值。另一方面，连续信息模型使内部人员能够不断跟踪基本价值的演变。内部人员在离散时间接收信息的中间情况也被考虑在内。该模型还可能包含多个具有异构质量的不同信息的内部人员。该项目解决了一些有趣的问题：(i)内部人士的私人信息向市场发布的速度有多快？（ii）市场价格是否会变得有效？（三）信息结构如何影响内部人如何使用其特权信息？（iv）随机公告时间对交易策略和市场价格有何影响？(5)在拥有不同信息的多个内部人的模型中，均衡如何变化？这些问题的答案可能因内部人私人信息的性质而有很大差异。例如，在单一信息模型中，内幕人士倾向于相当谨慎地交易，市场价格只是渐近地变得有效。相比之下，在连续信息情况下，存在一个有限的、内生决定的时间，在这个时间内市场效率达到并保持不变。这种均衡的一个显著特征是，在这段时间之后，内部人仍然收取正租金，尽管市场价格反映了她的所有信息。这项研究将有助于我们理解信息不对称如何影响金融市场。在实践方面，金融机构、政府监管机构和政策制定者将能够利用其结果来衡量内幕交易对市场价格、效率以及对不知情和知情交易者福利的影响。