http://www.fsa.ulaval.ca/personnel/PHGRE5/files/vo_2008.pdf

Strategic trading when some investors receive information before others

According to the theory of behavior finance, the model of information-based manipulation in Chinese stock market is studied in this paper. Meanwhile, the trading strategies of different traders are analyzed by using restriction of financing and security loan, on the basis of which the equilibrium outcomes of stock manipulation in different periods are obtained. Furthermore, the influences of margin deposit ratio and the rationality degree of semi-rational noise traders on stock market are discussed. Finally, some policy advices are given in the light of model analysis.

The Research of Information-Based Market Manipulation

Considering informed traders' information endogenous production cost and uninformed traders' strategic trading, this paper establishes a gamble model among market maker, informed and uninformed traders using rational expectation idea. It gives and proves the necessary and sufficient condition of the existence of a unique linear equilibrium in market and gets the analytical form of the equilibrium. This model is the extension of the general strategic rational expectation model. The results will be beneficial to further researches such as the optimal market mechanism design, and so on.

WU Chong-feng

Papers

Strategic Trading When Some Investors Receive Partly Information