Partially informed noise traders

DOI10.1007/s11579-012-0075-4zbMath1264.91063OpenAlexW1986684189MaRDI QIDQ1938977

Terje Bjuland, Knut Kristian Aase, Bernt Øksendal

Publication date: 26 February 2013

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10852/41587

zbMATH Keywords

asymmetric informationinsider tradingcorrelated tradepartially informed noise tradersstrategic trade

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Special types of economic equilibria (91B52) Financial applications of other theories (91G80) Auctions, bargaining, bidding and selling, and other market models (91B26) Economics of information (91B44)

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Kyle-back models with risk aversion and non-Gaussian beliefs ⋮ On the equilibrium of insider trading under information acquisition with long memory ⋮ KYLE–BACK’S MODEL WITH A RANDOM HORIZON ⋮ Sequential fair Stackelberg equilibria of linear strategies in risk-seeking insider trading ⋮ Kyle equilibrium under random price pressure

Cites Work

• An anticipative linear filtering equation
• Strategic insider trading equilibrium: a filter theory approach
• Continuous Auctions and Insider Trading
• A Liquidity-based Model of Security Design