摘要
研究一类做市商对风险资产有多种信息观察的连续内部交易模型。应用Kalman-Bucy滤波方法,得到了内部人的最优交易策略;而最优交易策略与做市商对信息的非平凡置信程度无关。
A model of continuous insider trading with confidence pricing under muti-information observations is studied.By applying Kalman-Bucy filtering method,we obtain a unique optimal strategy of insider and find that the optimal strategy has no concern with the nontrivial confidence degree of muti-information observed by market makers.
作者
张亮
周永辉
ZHANG Liang;ZHOU Yonghui(School of Mathematical Sciences,Guizhou Normal University,Guiyang,Guizhou 550025,China;School of Big Data and Computer Sciences,Guizhou Normal University,Guiyang,GuiZhou 550025,China)
出处
《贵州师范大学学报（自然科学版）》
CAS
2020年第2期49-54,共6页
Journal of Guizhou Normal University：Natural Sciences
基金
国家自然科学基金(No.11861025)
贵州省科技计划项目(黔科合平台人才[2018]5769号)
贵州师范大学2018年度研究生创新基金(YC[2018]042)。
