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    National Tsing Hua University Institutional Repository > 理學院 > 數學系 > 博碩士論文  >  單期交易成本模型中的不對稱資訊


    Please use this identifier to cite or link to this item: http://nthur.lib.nthu.edu.tw/dspace/handle/987654321/86520


    Title: 單期交易成本模型中的不對稱資訊
    Authors: 陳冠廷
    Chen, Guan-Ting
    Description: GH02100021601
    碩士
    數學系
    Date: 2014
    Keywords: 內線交易者;均衡解;最佳策略;手續費
    insider;equilibrium;optimal strategy;transaction cost
    Abstract: Kyle (1985) 論文中,探討單期內線交易模型,並且得到一組唯一的線
    性均衡解。而我們這篇論文主要的目的是在原始的模型裡,交易的過程中
    加入有手續費的情況,並且驗證其是否有線性均衡解在價格函數為線性的
    假設之下。
    先找出最佳策略,再利用 Market Efficiency 取期望值,透過簡單的計
    算證明線性均衡解的不存在。
    Kyle(1985) proposed a model of insider trading in discrete-time and continuous time, and obtained unique equilibrium. In this thesis, Our main purpose is in one-period model of Kyle to join the transaction cost in the trading process. There are an important issue about whether there exists an equilibrium as the price function is linear we discussed.
    First, we find out the optimal strategy . Second, we use Market Efficiency and calculus to prove that the equilibrium does not exist.
    URI: http://nthur.lib.nthu.edu.tw/dspace/handle/987654321/86520
    Source: http://thesis.nthu.edu.tw/cgi-bin/gs/hugsweb.cgi?o=dnthucdr&i=sGH02100021601.id
    Appears in Collections:[數學系] 博碩士論文

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