Stock market insider trading in continuous time with imperfect dynamic information

DOI10.1080/17442500903106614zbMath1196.91028arXiv1607.00035OpenAlexW2117817626MaRDI QIDQ3585325

Albina Danilova

Publication date: 19 August 2010

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1607.00035

zbMATH Keywords

linear filteringinsider tradingrational expectations equilibriumdynamic private informationnon-Markovian pricing rule

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Microeconomic theory (price theory and economic markets) (91B24) Economics of information (91B44) Rationality and learning in game theory (91A26)

Related Items (8)

Inconspicuousness and obfuscation: how large shareholders dynamically manipulate output and information for trading purposes ⋮ Optional decomposition of optional supermartingales and applications to filtering and finance ⋮ Optimal investment with inside information and parameter uncertainty ⋮ Kyle--Back Equilibrium Models and Linear Conditional Mean-Field SDEs ⋮ KYLE–BACK’S MODEL WITH A RANDOM HORIZON ⋮ On Pricing Rules and Optimal Strategies in General Kyle--Back Models ⋮ Dynamic Markov bridges motivated by models of insider trading ⋮ Kyle equilibrium under random price pressure

Cites Work

• Unnamed Item
• Random times and enlargements of filtrations in a Brownian setting.
• Continuous auctions and insider trading: uniqueness and risk aversion
• Insider trading in an equilibrium model with default: a passage from reduced-form to structural modelling
• Anticipative portfolio optimization
• Foundations of Modern Probability
• MINIMAL VARIANCE HEDGING FOR INSIDER TRADING

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