主 题:Aggregate Risk: A Unified Approach on Market Efficiency and Liquidity 总体风险: 一个对于市场效率与流动性的统一研究方法
内容简介: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.
本文分析了一个三阶段的做市商为风险中性的策略交易模型。该模型很容易用市场数据来校准。总体风险--现金流波动率，流动性交易量，和做市商的风险规避系数的乘积，是决定市场有效性的程度 （使用收益的自相关系数和价格的信息含量来度量）和做市商提供流动性的补偿的唯一因素，但流动性还取决于其他因素。知情交易者在第二期的反转交易导致前两期收益的自相关系数不为零，但同时降低了后两期收益自相关系数的大小。当价格波动性很大时，知情交易者不再交易其私有信息，而只提供流动性。
报告人:郭明 副教授
时 间:2019-04-12 14:30
地 点:位育楼 117
举办单位:城市发展研究院 科研部