包含多个知情交易者的可甄别交易流模型研究

本文扩展Corb（1994）分析框架，研究包含多个知情交易者的可甄别交易流模型．通过数值解的方法求得理性预期均衡。研究表明，线性理性预期均衡与相应的卡尔类型模型的均衡是相同的。在非线性理性预期均衡中，与卡尔类型模型相比，知情交易者的期望利润更低．市场流动性更高；当市场上不知情交易者的数量较少以及知情交易者的私人信息准确度不高时．知情交易者的交易强度更大，价格更有效，反之，知情交易者的交易强度会更小。

A Model of Strategic Trading when Order Flow is Disaggregated

In this paper, I will thoroughly study static disaggregated models with multiple informed traders. I apply numerically methods to figure out the rational expectations equilibrium in the model. Linearrational expectations equilibrium in disaggregated model is identical with that in the corresponding Kyle-type model. In non-linearrational expectations equilibrium, compared with the corresponding Kyle-type models, the informed traders get less expected profit, and market is more liquid in disaggregated models. When there are fewer uninformed traders and the informed' private signals are less precise, the informed trade more aggressively, thus the price becomes more efficient, or else, the informed trade less aggressively.