主  題:Aggregate Risk: A Unified Approach on Market Efficiency and Liquidity 總體風(fēng)險(xiǎn): 一個(gè)對(duì)于市場(chǎng)效率與流動(dòng)性的統(tǒng)一研究方法

內(nèi)容簡(jiǎn)介:This paper analyzes a tractable three-period strategic trading model  with risk-averse market makers, which are readily calibrated with market data. The aggregate risk---the product of the cash-flow volatility, the amount of liquidity trading, and the market makers' risk aversion coefficient---uniquely determines market efficiency (measured by  return autocorrelations and price informativeness), the market makers' compensations for liquidation provision,  but not liquidity. The informed trader's Period-2 contrarian trading endogenously generates the negative return autocorrelation between the first two periods, but makes the return autocorrelation between the last two periods less negative. When the price is very volatile, the informed trader solely provides liquidity.

  本文分析了一個(gè)三階段的做市商為風(fēng)險(xiǎn)中性的策略交易模型。該模型很容易用市場(chǎng)數(shù)據(jù)來校準(zhǔn)。總體風(fēng)險(xiǎn)--現(xiàn)金流波動(dòng)率，流動(dòng)性交易量，和做市商的風(fēng)險(xiǎn)規(guī)避系數(shù)的乘積，是決定市場(chǎng)有效性的程度 （使用收益的自相關(guān)系數(shù)和價(jià)格的信息含量來度量）和做市商提供流動(dòng)性的補(bǔ)償?shù)奈ㄒ灰蛩?，但流?dòng)性還取決于其他因素。知情交易者在第二期的反轉(zhuǎn)交易導(dǎo)致前兩期收益的自相關(guān)系數(shù)不為零，但同時(shí)降低了后兩期收益自相關(guān)系數(shù)的大小。當(dāng)價(jià)格波動(dòng)性很大時(shí)，知情交易者不再交易其私有信息，而只提供流動(dòng)性。

報(bào)告人:郭明      副教授

時(shí)  間:2019-04-12    14:30

地  點(diǎn):位育樓 117

舉辦單位:城市發(fā)展研究院  科研部