PAN Sujuan,LI Shiyin,ZHAO Pei.Stochastic differential game involving domestic and foreign institutional investors in securities market[J].Journal of Yanbian University,2022,(03):229-234.
证券市场中国内外机构投资者共同参与的随机微分博弈
- Title:
- Stochastic differential game involving domestic and foreign institutional investors in securities market
- 文章编号:
- 1004-4353(2022)03-0229-06
- Keywords:
- dynamic system; Nash equilibrium; HJB partial differential equation; stochastic differential game
- 分类号:
- O211.6;F830.9
- 文献标志码:
- A
- 摘要:
- 基于随机微分博弈理论,建立了一种国内外机构投资者和散户群体参与的连续时间博弈模型.首先将所有散户作为一个整体与国内外机构投资者共同进行博弈,并以博弈各方持股率的动态关系构建动态系统方程,以此构建一个随机微分博弈模型; 然后运用纳什均衡求解出满足价值函数的HJB偏微分方程,以此得到随机控制系统的最优策略.该结果可为金融监管部门监管证券市场和证券市场投资者买卖股票提供参考.
- Abstract:
- Based on stochastic differential game theory, a continuous time game model involving domestic institutional investors, foreign institutional investors and retail investors is established.Firstly, all retail investors as a whole participate in the game with domestic and foreign institutional investors, and take the dynamic relationship of shareholding ratio of all parties in the game as the dynamic system equation, so as to construct a stochastic differential game model; Then the Nash equilibrium is used to solve the HJB partial differential equation satisfying the value function, so as to obtain the optimal strategy of the stochastic control system.The results can provide reference for financial supervision departments to supervise the securities market and investors to buy and sell stocks in the securities market.
参考文献/References:
[1] 李钧瑶.Dynamic programming principles for two - player zero - sum stochastic differential games with regime switching[J].理论数学,2021,11(4):654 - 662.
[2] FONSECA M A, HERNÁNDEZ L O. Stochastic differential games: the potential approach[J]. Stochastics, 2020,92(7):1125 - 1138.
[3] 杨璐,张成科,朱怀念.带泊松跳的线性Markov切换系统的随机微分博弈及在金融市场中的应用[J].系统科学与数学,2018,38(5):537 - 552.
[4] 杨鹏.随机利率下DC型养老金的随机微分博弈[J].应用概率统计,2018,34(5):441 - 449.
[5] 杨鹏.具有交易费用和负债的随机微分博弈[J].系统科学与数学,2016,36(7):1040 - 1045.
[6] 潘素娟,李时银,赵佩.证券市场中庄家与散户间的确定性微分博弈[J].延边大学学报(自然科学版),2021,47(3):243 - 248.
[7] 杨荣基,彼得罗项,李颂志.动态合作:尖端博弈论[M].北京:中国市场出版社,2007.
[8] 班允浩.合作微分博弈问题研究[D].大连:东北财经大学,2009.
[9] 史蒂文E·施里夫.金融随机分析:连续时间模型:第2卷[M].上海:上海财经大学出版社,2016.
[10] BASAK G K, GHOSH M K, MUKHERJEE D.Equilibrium and stability of a stock market game with big traders[J].Differential Equations and Dynamical Systems, 2010,17(3):283 - 299.
[11] JORGENSEN S, YEUNG D W K.A strategic concession game[J].International Game Theory Review, 1999,1(1):103 - 129.
相似文献/References:
[1]潘素娟,李时银,赵佩.证券市场中庄家与散户间的确定性微分博弈[J].延边大学学报(自然科学版),2021,47(03):243.
PAN Sujuan,LI Shiyin,ZHAO Pei.Deterministic differential game of individual market makers in securities market[J].Journal of Yanbian University,2021,47(03):243.
备注/Memo
收稿日期: 2022-01-24
基金项目: 福建省自然科学基金(2021J011253); 福建省社会科学基金(FJ2021B031)
作者简介: 潘素娟(1982—),女,硕士,副教授,研究方向为金融工程与金融数学.