【摘要】 在非瓦尔拉斯市场下,构建了一个有一风险资产和两类交易者的微观结构市场模型,讨论了在流动性异动的市场环境下风险中性的短线投资者的交易行为,以及持有或卖出风险资产的均衡临界点。研究结论表明,短线投资者持有或卖出的价格临界点由投资者的损失极限唯一确定,且严格大于损失极限。更多还原

【Abstract】 In this paper,a microstructure model is be constructed,including one risk asset and two type investors in non-walrasian market.We discuss the short-term investor’s trading behaviors and the trigger point at which a risk neutral short-time investor decides to hold or sell out risk asset are discussed under the situation of liquidity abnormity.The results indicate that this trigger point is unique,which is exclusively determined by the investor’s loss limit,and is strict bigger than the loss limit.更多还原