中文摘要：

在非对称信息下,综合非知情交易者对资产价值的预期、私人估值及资产价值波动,构造指令驱动市场价格形成的动态模型,给出非知情交易者指令提交策略的解析解,并依此描述了非知情交易者对资产价值预期的动态更新过程.研究发现：私人估值和资产价值波动通过影响非知情交易者最优策略,使得市场进入不同均衡状态;在每个均衡状态下,非知情交易者根据资产价值的预期变化更新交易策略,进而引起知情交易者策略调整,特别地,使得知情交易者被挤出市场成为可能.进一步分析表明,私人估值、资产价值波动及知情交易者比例对市场流动性的影响依赖于每个均衡中限价指令执行风险的差异.

英文摘要：

Considering three factors： uninformed traders＇ expectation to the asset value, uninformed traders＇ pri- vate valuation, and the volatility of the asset value, the paper models the dynamic price formation in an order-driv- en market with asymmetric information. A closed-form solution is presented to describe the order placement strate- gies of uninformed traders so as to depict the dynamic process how the uninformed traders of the asset value. Our results show that the p formed traders＇ optimal strategies, leading to update their expectation rivate valuation and the volatility of the asset values affect the unin- market converges to different equilibria. In each equilibrium state, uninformed traders update their strategies according to of informed traders＇ strategies. Specifically, there is a their expectations of the asset value, resuhing in the change possible state in which the informed traders are crowded out of the market. Furthermore, the differences in the execution risk of limit orders in each equilibrium play an impor- tant role in the effects of private valuation, volatility of the asset value, and the ratio of informed traders on market liquidity.