Equilibrium price and optimal insider trading strategy under stochastic liquidity with long memory
From MaRDI portal
Publication:2232753
DOI10.1007/s00245-020-09675-2zbMath1471.91519arXiv1901.00345MaRDI QIDQ2232753
Xin-Jiang He, Ben-Zhang Yang, Nan-Jing Huang
Publication date: 8 October 2021
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1901.00345
fractional Brownian motion; asset pricing; equilibrium; insider trading; liquidity; optimal investment
60G22: Fractional processes, including fractional Brownian motion
91G80: Financial applications of other theories
91G30: Interest rates, asset pricing, etc. (stochastic models)
91G10: Portfolio theory
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