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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
    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
    先找出最佳策略,再利用 Market Efficiency 取期望值,透過簡單的計
    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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