项目名称: 过度自信理论与内幕交易研究
项目编号: No.11301563
项目类型: 青年科学基金项目
立项/批准年度: 2014
项目学科: 数理科学和化学
项目作者: 周德清
作者单位: 中央财经大学
项目金额: 22万元
中文摘要: 内幕交易的隐蔽性降低了监管部门对此类交易的监管有效性。课题拟以内幕交易参与者的过度自信信念和中国资本市场的特殊规则为切入点,研究内幕交易者的最优动态策略,内幕交易下的价格变动模式,市场规则对内幕交易的影响,过度自信信念对均衡的影响,过度自信信念的演化过程。 课题旨在通过所建立的理论模型,并结合现实中的内幕交易案例,发展出一套基于市场价格异动和交易量数据的内幕交易监管方法,为内幕交易监管提供理论依据和技术支持。
中文关键词: 内部交易;博弈;过度自信;;
英文摘要: The insider trading is so hard to be discovered that the Securities Regulatory Commission's supervision is powerless. By modelling overconfident beliefs and the trade rules in china's capital market,we want to investigate the insider's optimal dynamic strategy, the price pattern with informed trading, the effects the market rules have on the insider trading, the effects overconfident beliefs have on equlibrium and the belief evolution. We aim to, by theoretical models and the insider trading cases, develop a methodlogy for supervising the insider trading based on the unusual movement in price and the market order magnitude, and thus we can provide a theoretical basis and a technical support for insider trading supervision.
英文关键词: Informed trading;game;overconfidence;;