摘要翻译：
引入了一个非对称信息模型，其中存在一个比一般市场参与者更易受市场信息流动影响的小代理，并试图根据附加信息实施策略。在该模型中，市场参与者可以获得关于资产未来回报的噪声信息流，而知情交易者可以获得另一个信息源，该信息源被可能与市场噪声相关的附加噪声所掩盖。知情交易者利用外部信息来源寻求统计套利机会，同时适应额外的风险。一般市场参与者可获得的关于资产收益的信息量是通过资产价格和相关现金流的相互信息来衡量的。然后，根据一般市场参与者和知情交易者之间的相互信息差异来衡量额外信息源的价值。当预先知道信息流的信噪比时，这种差值是非负的。利用额外信息构造了导致统计套利机会的显式交易策略，说明了过剩信息如何转化为利润。
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英文标题：
《Informed Traders》
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作者：
Dorje C. Brody, Mark H. A. Davis, Robyn L. Friedman, Lane P. Hughston
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最新提交年份：
2008
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Trading and Market Microstructure        交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，基于代理的建模和做市
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一级分类：Computer Science        计算机科学
二级分类：Information Theory        信息论
分类描述：Covers theoretical and experimental aspects of information theory and coding. Includes material in ACM Subject Class E.4 and intersects with H.1.1.
涵盖信息论和编码的理论和实验方面。包括ACM学科类E.4中的材料，并与H.1.1有交集。
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一级分类：Mathematics        数学
二级分类：Information Theory        信息论
分类描述：math.IT is an alias for cs.IT. Covers theoretical and experimental aspects of information theory and coding.
它是cs.it的别名。涵盖信息论和编码的理论和实验方面。
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一级分类：Mathematics        数学
二级分类：Probability        概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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英文摘要：
  An asymmetric information model is introduced for the situation in which there is a small agent who is more susceptible to the flow of information in the market than the general market participant, and who tries to implement strategies based on the additional information. In this model market participants have access to a stream of noisy information concerning the future return of an asset, whereas the informed trader has access to a further information source which is obscured by an additional noise that may be correlated with the market noise. The informed trader uses the extraneous information source to seek statistical arbitrage opportunities, while at the same time accommodating the additional risk. The amount of information available to the general market participant concerning the asset return is measured by the mutual information of the asset price and the associated cash flow. The worth of the additional information source is then measured in terms of the difference of mutual information between the general market participant and the informed trader. This difference is shown to be nonnegative when the signal-to-noise ratio of the information flow is known in advance. Explicit trading strategies leading to statistical arbitrage opportunities, taking advantage of the additional information, are constructed, illustrating how excess information can be translated into profit.
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PDF链接：
https://arxiv.org/pdf/0807.1253