| In this paper, We develop a single-period and a multi-period dynamic insider trading strategy model. The model has four kinds of traders: a single risk-neutral insider, a single risk-averse insider, random noise traders, and risk neutral market makers. In the model, we found that due to the existence of two different types of risk preference of traders, the trading intensity will be weakened, leading to the desired profit decrease. With the increase of the coefficient of risk aversion, the difference between two kinds of traders become apparent. In Multi-periods trading, two types of traders take advantage of its information, make private information be revealed at the early periods of the trading rapidly, reflected in prices, increase the market efficient. With the market depth becomes high, the market becomes more stable. |
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