Strategic Trading and Welfare in a Dynamic Market
Strategic Trading and Welfare in a Dynamic Market
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动态市场中的战略交易和福利
DOI：
10.1111/1467-937x.00086
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发表时间：
1999
期刊：
影响因子：
--
通讯作者：
Dimitri Vayanos
中科院分区：
文献类型：
--
作者：
Dimitri Vayanos
本文研究了一个具有N个策略代理人的金融市场动态模型。代理人在每个时期接受随机的股票捐赠，并进行交易以分担股息风险。捐赠是模型中唯一的私有信息。我们发现，即使交易之间的时间为0，代理人的交易也很慢。事实上，由于战略行为造成的福利损失随着交易间隔时间的缩短而增加。当交易间隔时间为0时，福利损失为1/N，而不是像双向拍卖文献中的静态模型那样为1/N2。该模型是非常容易处理的，并在特殊情况下得到了封闭形式的解决方案。
This paper studies a dynamic model of a financial market with N strategic agents. Agents receive random stock endowments at each period and trade to share dividend risk. Endowments are the only private information in the model. We find that agents trade slowly even when the time between trades goes to 0. In fact, welfare loss due to strategic behaviour increases as the time between trades decreases. In the limit when the time between trades goes to 0, welfare loss is of order 1/N, and not 1/N2 as in the static models of the double auctions literature. The model is very tractable and closed-form solutions are obtained in a special case.