Continuous auctions and insider trading: uniqueness and risk aversion

DOI 10.1007/s007800200078</link>zbMath 1066.91057</link>OpenAlex W1988832155</link>MaRDI QID Q1424703</link>

Publication date: 16 March 2004

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

Full work available at URL: https://doi.org/10.1007/s007800200078

zbMATH Keywords

stochastic optimal control optimal filtering insider trading perfect Bayesian equilibrium market microstructure continuous-time finance

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Microeconomic theory (price theory and economic markets) (91B24) Optimal stochastic control (93E20) Auctions, bargaining, bidding and selling, and other market models (91B26)

Related Items (24)

MODELING OF FINANCIAL MARKETS WITH INSIDE INFORMATION IN CONTINUOUS TIME ⋮ Linear Bayesian equilibrium in insider trading with a random time under partial observations ⋮ Equilibrium model with default and dynamic insider information ⋮ Optimal investment with inside information and parameter uncertainty ⋮ Trading Constraints in Continuous-Time Kyle Models ⋮ Existence of linear strategy equilibrium in insider trading with partial observations ⋮ Kyle-back models with risk aversion and non-Gaussian beliefs ⋮ Do fundamentals shape the price response? A critical assessment of linear impact models ⋮ On the equilibrium of insider trading under information acquisition with long memory ⋮ Kyle--Back Equilibrium Models and Linear Conditional Mean-Field SDEs ⋮ Liquidity and the marginal value of information ⋮ KYLE–BACK’S MODEL WITH A RANDOM HORIZON ⋮ OPTION PRICING IN MARKETS WITH INFORMED TRADERS ⋮ Insider trading in an equilibrium model with default: a passage from reduced-form to structural modelling ⋮ Insider trading with memory under random deadline ⋮ On Pricing Rules and Optimal Strategies in General Kyle--Back Models ⋮ Default-risky bond prices with jumps, liquidity risk and incomplete information ⋮ Stock market insider trading in continuous time with imperfect dynamic information ⋮ Dynamic Markov bridges motivated by models of insider trading ⋮ Pricing rules under asymmetric information ⋮ A stationary Kyle setup: microfounding propagator models ⋮ Kyle equilibrium under random price pressure ⋮ Insider trading with a random deadline under partial observations: maximal principle method ⋮ Asymptotic Glosten--Milgrom Equilibrium

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