A market model with medium/long-term effects due to an insider
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Publication:5746774
DOI10.1080/14697688.2012.695084zbMath1280.91151OpenAlexW2095789034MaRDI QIDQ5746774
Hiroaki Hata, Arturo Kohatsu-Higa
Publication date: 8 February 2014
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2012.695084
stochastic differential equationsinsider tradingmarket microstructureportfolio analysisagent based modellingliquidity modelling
Related Items (5)
Risk-sensitive portfolio optimization problem for a large trader with inside information ⋮ Portfolio selection and risk control for an insurer with uncertain time horizon and partial information in an anticipating environment ⋮ Optimal investment and risk control for an insurer with partial information in an anticipating environment ⋮ The insider trading problem in a jump-binomial model ⋮ Optimal time-consistent investment and reinsurance strategy for mean-variance insurers under the inside information
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