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NSF提案号：0720815 Ennio Stacchetti，纽约大学许多经济情况涉及到一组不知情的消费者和一个拥有上级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。它调查了知情交易者如何将他们的私人信息转移到市场上，以及他们在这个过程中如何（以及多少）得到补偿。内部人士不断收到有关资产基本价值的信息。市场的其他部分只观察公开信息，包括交易量和以前交易的价格。内部人士的信息优势一直持续到一个不可预测的时刻，当一个公告向所有交易者揭示了资产的真实基本价值。内幕交易者的最优交易策略旨在最大化她的交易租金，同时最小化在交易过程中传递给市场的私人信息的“数量”。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，该结构随内部人士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。中间的情况下，内部接收信息在离散的时间也被认为是。该模型还可能包括多个内部人员，他们拥有不同质量的不同信息。该项目解决了一些有趣的问题：（i）内部人员的私人信息被发布到市场中的速度有多快？(ii)市场价格有效率吗？(iii)信息结构如何影响内部人如何使用他们的特权信息？(iv)随机公布时间对交易策略和市场价格有什么影响？(v)在一个有多个不同信息的内部人的模型中，均衡是如何变化的？这些问题的答案可能会有很大的不同，这取决于内部人员的私人信息的性质。例如，在单信息模型中，内部人更倾向于谨慎交易，市场价格只有渐近有效。相反，在连续信息的情况下，存在一个有限的时间，内生地确定，在市场效率达到和保持之后。这种均衡的一个显著特征是，尽管市场价格反映了内部人的所有信息，但内部人在这段时间之后仍然获得正租金。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。

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.