INSIDER TRADING RULES AND PRICE FORMATION IN SECURITIES MARKETS: AN ENTROPY ANALYSIS OF STRATEGIC TRADING

DOI10.1142/S0219024906004013zbMath1134.91387OpenAlexW3125191119MaRDI QIDQ5386314

Karl Ludwig Keiber

Publication date: 14 May 2008

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024906004013

zbMATH Keywords

information theoryinformational efficiencyoverreactionunderreactionexcess volatilityinsider trading rules

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Auctions, bargaining, bidding and selling, and other market models (91B26) Measures of information, entropy (94A17) Statistical aspects of information-theoretic topics (62B10)

Cites Work

• Unnamed Item
• A Mathematical Theory of Communication
• THE ENTROPIC MARKET HYPOTHESIS
• THE ENTROPY THEORY OF STOCK OPTION PRICING
• Continuous Auctions and Insider Trading
• PRICING DERIVATIVE SECURITIES USING CROSS-ENTROPY: AN ECONOMIC ANALYSIS