The existence of information analysis under The Bayesian theory

The information structure as the friction factors on the price formation has a very important role. Information structure including information exists, information composition and the distribution of the information. Information means the possibility of existence of private information in the securities market and it is the basis of information structure. However, researchers did not draw enough attention to the analysis of the information exists In this paper we established a model of price formation under an order-driven market, and information exists is a fiction factor We use Bayesian to analysis the nature of the information exists.