Analysis on heterogeneous and subgroup information in financial markets

• Main Authors: Yang, Yu- Tsung, 楊祐宗
• Other Authors: 莊委桐
• Format: Others
• Language: en_US
• Published: 2010
• Online Access: http://ndltd.ncl.edu.tw/handle/17265924202280726054

碩士 === 國立政治大學 === 經濟研究所 === 98 === Traders with their own heterogeneous hidden information are coming to the market to trade in order to maximize their expected profits. They will observe the trends of prices and compare it to their private signals and then make the right decisions. The trends might not consistent with the private signals. If the traders choose to abandon his own signals and follow the actions made by predecessors, we called the action “Herds.” In this paper, we set a mechanism to harmonize with these two powers. Also we put the traders into two subgroups, and one of the groups will send another signal to its members. For simplicity, we use a sequential trading model to see the trade patterns. Since we use the closing price to measure traders’ profits, traders in the market need to presume what the closing price will be. Then we calculate the profits of each group and find out their performance. We want to see under what kind of conditions, the performance of one group will be better than that of another group. If we can find the conditions of better performance, it is worth for the traders to join that group.