金融市场中的信息流动模型
Modelling Information Flows in Financial Markets
摘要：
本文对基于信息的资产定价进行了综述。在这种方法中，资产是由其现金流结构定义的。假设市场能够获得有关未来现金流的“部分”信息。每个现金流都是由一系列独立的市场因素决定的，这些因素被称为X因素。市场过滤是由一组信息过程产生的，每个信息过程都携带关于X因素之一的信息，并最终揭示X因素。每个信息过程都有两个术语，其中一个包含有关相关X因子的“信号”，另一个代表“市场噪音”。资产的价格由风险中性测度中贴现现金流的预期给出，并以市场提供的信息为条件。当市场噪音是由布朗桥建模的时候，人们可以构造出资产价格的显式公式，以及期权和衍生品价格和希腊的半解析表达式。特别是，期权价格数据可以用来确定信息流程定义中隐含的信息流率参数。建模框架的一个结果是随机波动率和相关过程的具体方案。人们可以从涉及相关现金流的更原始的假设中推导出资产价格波动的动态和相关性，而不是将波动和相关性模型强加于一组资产的动态。本文最后审查的情况下，涉及信息不对称。我们提出了一个简单的模型，为知情的交易者，并显示如何将其作为一个基础，所谓的统计套利。最后，我们考虑了多个代理商的异质市场中的价格形成问题。
英文摘要：
This paper presents an overview of information-based asset pricing. In this approach, an asset is defined by its cash-flow structure. The market is assumed to have access to "partial" information about future cash flows. Each cash flow is determined by a collection of independent market factors called X-factors. The market filtration is generated by a set of information processes, each of which carries information about one of the X-factors, and eventually reveals the X-factor. Each information process has two terms, one of which contains a "signal" about the associated X-factor, and the other of which represents "market noise". The price of an asset is given by the expectation of the discounted cash flows in the risk-neutral measure, conditional on the information provided by the market. When the market noise is modelled by a Brownian bridge one is able to construct explicit formulae for asset prices, as well as semi-analytic expressions for the prices and greeks of options and derivatives. In particular, option price data can be used to determine the information flow-rate parameters implicit in the definitions of the information processes. One consequence of the modelling framework is a specific scheme of stochastic volatility and correlation processes. Instead of imposing a volatility and correlation model upon the dynamics of a set of assets, one is able to deduce the dynamics of the volatilities and correlations of the asset price movements from more primitive assumptions involving the associated cash flows. The paper concludes with an examination of situations involving asymmetric information. We present a simple model for informed traders and show how this can be used as a basis for so-called statistical arbitrage. Finally, we consider the problem of price formation in a heterogeneous market with multiple agents.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
