An equilibrium model of insider trading in continuous time

DOI10.1007/s10203-009-0093-8zbMath1185.91106OpenAlexW2103199593MaRDI QIDQ1037394

Roberto Monte, Barbara Trivellato

Publication date: 16 November 2009

Published in: Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10203-009-0093-8

zbMATH Keywords

Kalman-Bucy filterBayesian-Nash equilibrium

Mathematics Subject Classification ID

Special types of economic equilibria (91B52) Stochastic models in economics (91B70)

Cites Work

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• Optimum consumption and portfolio rules in a continuous-time model
• Information, trade and common knowledge
• Continuous Auctions and Insider Trading
• Informed Speculation with Imperfect Competition
• An Introduction to the Theory of Rational Expectations Under Asymmetric Information
• Smart Money, Noise Trading and Stock Price Behaviour
• The Existence of Futures Markets, Noisy Rational Expectations and Informational Externalities
• A Model of Intertemporal Asset Prices Under Asymmetric Information

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