Long-Lived Private Information Model- Spot and Future Markets Model
碩士 === 國立雲林科技大學 === 財務金融系碩士班 === 92 === We develop a multi-period auction model in which a single informed trader strateg- ically exploiting his long-lived information between spot market and future market. Our model is in the spirit of the essence of Kyle(1985) but differentiates from Kyle by int...
| Main Authors: | , |
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2004
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| Online Access: | http://ndltd.ncl.edu.tw/handle/39905285406535992685 |
| Summary: | 碩士 === 國立雲林科技大學 === 財務金融系碩士班 === 92 === We develop a multi-period auction model in which a single informed trader strateg-
ically exploiting his long-lived information between spot market and future market. Our model is in the spirit of the essence of Kyle(1985) but differentiates from Kyle by introducing an extract future market. Since many literatures indicate that future market has a great influence on the liquidity and efficiency of spot market, we consider the future market in our model and examine how it may affect the liquidity and the efficiency of spot market. The model shows that the market depth is infinite in the beginning of the trading period and remains infinite there until a sudden decrease emerges when the trading nearly ends. In addition, the monopolistic informed trader indeed conceals his private information in most trading sections until at the very end of the horizon the information then is revealed in a cascade fashion. We further analyze the trading strategies and find that future market provides the informed agent a shielding vehicle to conceal his private information and complicate the content of the private information.
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