The information feedback in stock market

Author

Zhou, Xiangdong

Author_Institution

Sch. of Econimics, Jiangsu Teachers Univ. of Technol., Changzhou, China

Volume

1

fYear

2010

fDate

9-10 Oct. 2010

Firstpage

213

Lastpage

215

Abstract

In this paper, Glosten/Milgrom(1985) Informational Model is adopted to analyze the market maker´s establishment of the bid-ask spread in the existence of asymmetric information in the stock market The bid-ask spread is established to avoid losses of the market maker traders when trading with the informed traders. The market makers learn the market information feedback by observing the types of orders and by using Bayes rule. However, the true value of a stock is eventually reflected in stock price along with the trading process. The analysis of the model can provide the necessary theoretical basis for the development and improvement of China´s market maker system.

Keywords

Bayes methods; commerce; pricing; stock markets; Bayes rule; China market maker system; asymmetric information; bid-ask spread; information feedback; informational model; market maker trader; stock market; stock price; Educational institutions; bid-ask spread; information feedback; informational model; market maker;

fLanguage

English

Publisher

ieee

Conference_Titel

Future Information Technology and Management Engineering (FITME), 2010 International Conference on

Conference_Location

Changzhou

Print_ISBN

978-1-4244-9087-5

Type

conf

DOI

10.1109/FITME.2010.5654863

Filename

5654863