Insider trading with memory under random deadline

DOI10.1155/2021/2973361zbMath1478.91188OpenAlexW3184895527MaRDI QIDQ2240173

Kai Xiao, Yong-Hui Zhou

Publication date: 8 November 2021

Published in: Journal of Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2021/2973361

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Financial applications of other theories (91G80)

Related Items

On the equilibrium of insider trading under information acquisition with long memory

Cites Work

• An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions
• Continuous auctions and insider trading: uniqueness and risk aversion
• Existence of linear strategy equilibrium in insider trading with partial observations
• Sequential fair Stackelberg equilibria of linear strategies in risk-seeking insider trading
• Insider trading equilibrium in a market with memory
• Strategic insider trading equilibrium: a filter theory approach
• Equilibrium price and optimal insider trading strategy under stochastic liquidity with long memory
• General approach to filtering with fractional brownian noises — application to linear systems
• Continuous Auctions and Insider Trading
• Kyle--Back Equilibrium Models and Linear Conditional Mean-Field SDEs
• Insider Trading, Stochastic Liquidity, and Equilibrium Prices
• Insider Trading With a Random Deadline
• Stochastic Calculus for Fractional Brownian Motion and Applications
• Information in Securities Markets: Kyle Meets Glosten and Milgrom