Asymmetric information in fads models

DOI10.1007/s00780-006-0006-4zbMath1101.60047OpenAlexW2127736466MaRDI QIDQ854270

Paolo Guasoni

Publication date: 8 December 2006

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-006-0006-4

zbMATH Keywords

asymmetric informationOrnstein-Uhlenbeck processHitsuda representationfads models

Mathematics Subject Classification ID

Gaussian processes (60G15) Economic time series analysis (91B84) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Non-Markovian processes: hypothesis testing (62M07)

Related Items (10)

A jump model for fads in asset prices under asymmetric information ⋮ A discontinuous mispricing model under asymmetric information ⋮ Numerical approximations of optimal portfolios in mispriced asymmetric Lévy markets ⋮ Modelling fundamental analysis in portfolio selection ⋮ A mispricing model of stocks under asymmetric information ⋮ EMA-type trading strategies maximize utility under partial information ⋮ m-Double Poisson Lévy markets ⋮ On optimal investment with processes of long or negative memory ⋮ Should Commodity Investors Follow Commodities' Prices? ⋮ Optimal demand in a mispriced asymmetric Carr-Geman-Madan-Yor (CGMY) economy

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