【作者】 赵昕；

【导师】 刘运；

【作者基本信息】 山东大学 ， 金融（专业学位）， 2019， 硕士

【副题名】理论模型与实证检验

【摘要】 拍卖因其能通过市场方式快速且低成本地发现市场均衡价格,最大化参与方的收益,在实际应用和理论层面都被认为是一种能够有效地配置稀缺资源的市场化工具。同时,也因为其“工具性”的特点,许多国内外学者通过对于不同经济环境和参与者行为方式的模型化,抽象出了不同的拍卖模型和假设条件。区块链技术是用来记录所有网上交易或电子交易行为的底层架构体系,即一种特殊的公开账簿技术的分布式数据记录程序。随着区块链技术在我国互联网金融公司的推动下飞速成长,数字货币也借此势头广泛流通起来,拍卖理论也在新的领域中实现了突破性的进步。本文根据我国现有区块链应用的发展现状,首先在现有彩票模型(Lottery Model)的基础上提出了无成本的假设,并推导出无成本彩票模型;本文发现在无成本彩票模型中,卖方收益等于竞拍成功者的竞拍价格。在此基础上,选取了哈希世界区块链游戏公司发布的自2018年7月7日至2019年4月7日的九个月内共计60期历史拍卖数据作为研究样本,通过实证分析,对无成本彩票模型的有效性进行了测试。实证结果表明:(i)无成本彩票模型的卖方收益与获胜者价值分布是显著相关的,获胜者价值分布越高,则卖方收益越高;(ii)当竞拍人数较多导致竞拍金额极大的时候,卖方收益与竞拍失败总金额没有显著相关关系,反之则不然。最后,本文通过协整分析中的误差修正模型(VECM)检查变量之间的长期均衡关系,并对未来若干期拍卖进行了模拟预测分析。通过模拟预测分析,本文验证无成本彩票模型的卖方收益略小于获胜者价值分布一半且与数额庞大的竞拍失败总金额没有显著相关关系的理论结果。本文创新点在于,在彩票模型基础上进行扩展,推导了无成本条件下彩票模型的均衡竞价以及卖方收益,并利用真实竞拍数据,完成实证分析和模型预测,通过模拟分析,可以验证在该策略下预期成交金额与公布数据能够较好拟合。最后对本文结论进行总结,提出了若干无成本彩票模型在未来可能的应用场景,并对区块链技术的未来发展方向提出一系列政策建议。更多还原

【Abstract】 Auction is considered as a marketization tool to allocate scarce resources effectively in practice and theory because it can find market equilibrium price quickly and cheaply and maximize participants’ income.At the same time,because of its instrumental"characteristics,many scholars native and abroad propose different auction models and assumptions by modelling different economic environments and participants’ behavior.Block chain technology is a distributed data recording scheme that records all trans-actions or electronic actions,that is,open book technology.With the development of block chain technology and the circulation of digital money,auction theory has also made breakthroughs in new fields.Based on the current development of block chain application in China,this paper first puts forward the assumption of no-cost on the basis of the existing lottery model,and deduces costless lottery model.In the costless lottery model,it is found that the seller’s revenue equals the bidding price of the successful bidder.On this basis,we se-lected 60 historical auction data published by Hash World Block Chain Game Company from July 7,2018 to April 7,2019 as research samples,and tested the effectiveness of the costless lottery model.The empirical results that we have received show that:(i)Seller’s revenues are significantly correlated with the winner’s value distribution in the costless lottery model,and the higher the winner’s value distribution,the higher the seller’s revenue;(ii)When the number of bidders leads to a large amount of bidding,the seller’s revenues are not significantly correlated with the total amount of failers’biddings,Otherwise not.Finally,by using co-integration analysis,this paper has tested the long-term equilibrium relationship among the variables we used in the experiment,and simulated and predicted several future auctions.Through simulation and forecast-ing analysis,this paper verifies the theoretical results that the seller’s revenue of the costless lottery model is slightly less than half of the winner’s value distribution and has no significant correlation with the total amount of failers’ biddings.The innovation of this paper is to extend the lottery model,deduce the equilibrium bidding and seller ’s revenue of the lottery model under the condition of no cost,and use real bidding data to complete empirical analysis and model prediction.Through simulation analysis,we can verify that the expected transaction amount and published data under this strategy can be better fitting.Finally,the paper’s conclusion that we have deduced is summarized,and some possible application scenarios of costless lot-tery model in the future are put forward,a series of policy suggestions are put forward for the development of block chain technology.更多还原