Insider trading equilibrium in a market with memory

DOI10.1007/S11579-012-0065-6zbMath1262.91156OpenAlexW2049995052MaRDI QIDQ1938986

Thilo Meyer-Brandis, Francesca Biagini, Yaozhong Hu, Bernt Øksendal

Publication date: 26 February 2013

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

Full work available at URL: http://urn.nb.no/URN:NBN:no-29091

zbMATH Keywords

fractional Brownian motioninsider tradingmemoryfiltering problemoptimal expected wealth

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Signal detection and filtering (aspects of stochastic processes) (60G35) Financial applications of other theories (91G80)

Related Items (9)

Linear Bayesian equilibrium in insider trading with a random time under partial observations ⋮ Kyle-back models with risk aversion and non-Gaussian beliefs ⋮ On the equilibrium of insider trading under information acquisition with long memory ⋮ PRICE SETTING OF MARKET MAKERS: A FILTERING PROBLEM WITH ENDOGENOUS FILTRATION ⋮ Kyle--Back Equilibrium Models and Linear Conditional Mean-Field SDEs ⋮ Insider trading with memory under random deadline ⋮ Linear-quadratic non-zero sum differential game for mean-field stochastic systems with asymmetric information ⋮ Kyle equilibrium under random price pressure ⋮ Insider trading with a random deadline under partial observations: maximal principle method

Cites Work

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• Strategic insider trading equilibrium: a filter theory approach
• Stochastic calculus for fractional Brownian motion and related processes.
• General approach to filtering with fractional brownian noises — application to linear systems
• Continuous Auctions and Insider Trading
• Stochastic calculus with respect to continuous finite quadratic variation processes
• Stochastic Calculus for Fractional Brownian Motion and Applications

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