噪声交易中套利者的作用研究

证券市场上的噪声交易会引起证券价格的均值非零的变动.DSSW模型研究证实了噪声交易者获得的平均收益甚至要高于套利者,但套利者的存在依然抑制了价格的波动,从而也限制了噪声交易者的获利空间.一个简单的拍卖模型表明,套利者在与噪声交易者的博弈中,套利行为的产生需要一定的获利空间条件,因此套利者行为确实受到了限制.但同时套利行为也无疑产生了重要的价格平抑作用.

A Study of Arbitrageur's Function in Noise Trading

In the stock market,the noise trader surely influences the price of stock,even on the condition without information of basic value of the stock.Although the study of DSSW model confirmed the noise trader obtained more gain than arbitrageur,the arbitrageur restricted the fluctuation of price and the benefit space of noise trader.This paper proposes a simple model to confirm that the existence of arbitrage requires some benefit space in the game between noise trader and arbitrageur.So the arbitrage action is restricted.At the same time arbitrage can surely smooth the price.