| In this paper,we mainly study tree models of commodity production with noise-related insider trading under different market structures,solve the closed form solutions of market linear equilibrium respectively and discuss the relevant economic significance.Firstly,under three different market structures,namely monopoly,Cournot game,and Stackelberg game,this thesis studies insider trading models in which commodity production and trading coexist.In the trading stage,noise trading volume and the liquidation value of the underline risky asset are correlated.Through the classical dynamic programming principle,closed forms of three linear market equilibria are obtained respectively.The research findings are in three aspects:(1)all of market trading intensity,market liquidity parameters,residual information volume of the risky asset,manager’s aggregate returns and company production depend on the correlation coefficient;(2)as the correlation increasing,the trading intensity in the master-slave game market also increases,while in monopoly markets and Cournot market structures,the corresponding trading intensity will be weaker;(3)under three types of market structures,all of market liquidity parameter,residual information on risky asset,manager’s aggregated returns,and company production decrease with the increasing of the correlationThen,by numerical simulation methods,the effects of the correlation coefficient on transaction strength,market liquidity parameter,residual information on risky assets,manager’s aggregated returns and company production are compared and analyzed.The research shows that with the increasing of correlation,the trading intensity of the Stackelberg game market has a significant upward trend,and the trading intensity of the follower increases is faster than the trading intensity of the leader,market liquidity varies in speed;the changing trend of residual information on risky assets,company production,and manager’s aggregated return are very similar which is consistent with our intuition.These results can provide a theoretical basis for rational decision-making by brokers and effective pricing by market makers in relevant financial markets. |
