Information Protocol Equilibrium in n-insider Perfect Competition with a Random Deadline
作者机构：School of Mathematical Sciences Guizhou Normal University School of Big Data and Computer Sciences Guizhou Normal University
出 版 物：《Acta Mathematicae Applicatae Sinica》 (应用数学学报(英文版))
年 卷 期：2024年
核心收录：
学科分类：02[经济学] 0202[经济学-应用经济学] 020208[经济学-统计学] 07[理学] 0714[理学-统计学（可授理学、经济学学位）] 070103[理学-概率论与数理统计] 0701[理学-数学]
基 金：supported by the Natural Science Foundation of China (11861025) QKZYD of Guizhou 4055 Natural Science Research Project of Guizhou Provincial Department of Education(No.QJJ 011)
摘 要：This paper studies a model of n insiders with perfect information trading on a risky asset with value normally distributed and disclosed at a random deadline. We propose a concept of information protocol equilibrium under semi-strong efficient pricing, consisting of an n-profile of insider trading strategies with terminal residual information protocols, and find that if a common protocol on terminal residual information before trading is obeyed by all insiders, then, in the market with more than two insiders there exists a uique equilibrium only when it requires to release common partial information eventually, or it does not exist if it requires to release all or not any; but in the market with a single insider, the insider may release all private information eventually to make a maximal profit. Thereby, the existence and uniqueness of information protocol equilibrium among n insiders are deduced. Finally, numerical results illustrate some market characteristics of equilibria with different information protocols required before trading.
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