A jump model for fads in asset prices under asymmetric information

DOI10.1016/J.EJOR.2013.10.037MaRDI QIDQ299877zbMATH OpenOpenAlexFDO

Authors Hongwei Long, Winston Buckley, Sandun Perera

Publication date 23 June 2016

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.ejor.2013.10.037

zbMATH Keywords

asymmetric informationasset pricingfadsinstantaneous centralized moments of return[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=L%EF%BF%BD%EF%BF%BDvy+jump+markets&go=Go L��vy jump markets]logarithmic utilities

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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Cites work

• scientific article; zbMATH DE number 2006037 (Why is no real title available?)
• A Model of Intertemporal Asset Prices Under Asymmetric Information
• A Noisy Rational Expectations Equilibrium for Multi-Asset Securities Markets
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• Additional logarithmic utility of an insider
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• Asymmetric information in fads models
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• Exotic option pricing and advanced Lévy models.
• Financial Modelling with Jump Processes
• Handbooks in operations research and management science: Financial engineering
• Lévy Processes and Stochastic Calculus
• Naive traders and mispricing in prediction markets
• Optimum consumption and portfolio rules in a continuous-time model
• Option Pricing With V. G. Martingale Components¹
• The Present-Value Relation: Tests Based on Implied Variance Bounds
• The Variance Gamma Process and Option Pricing

Cited in

(8)

• Numerical approximations of optimal portfolios in mispriced asymmetric Lévy markets
• A discontinuous mispricing model under asymmetric information
• Modelling fundamental analysis in portfolio selection
• Merton's portfolio problem including market frictions: a closed-form formula supporting the shadow price approach
• Optimal demand in a mispriced asymmetric Carr-Geman-Madan-Yor (CGMY) economy
• Asymmetric information in fads models
• m-Double Poisson Lévy markets
• Strategic trading with information acquisition and long-memory stochastic liquidity

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