Stock market insider trading in continuous time with imperfect dynamic information

DOI10.1080/17442500903106614zbMath1196.91028arXiv1607.00035MaRDI QIDQ3585325

Albina Danilova

Publication date: 19 August 2010

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1607.00035

zbMATH Keywords

linear filtering; insider trading; rational expectations equilibrium; dynamic private information; non-Markovian pricing rule

Mathematics Subject Classification ID

62M20: Inference from stochastic processes and prediction

91B24: Microeconomic theory (price theory and economic markets)

91B44: Economics of information

91A26: Rationality and learning in game theory

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Kyle--Back Equilibrium Models and Linear Conditional Mean-Field SDEs, KYLE–BACK’S MODEL WITH A RANDOM HORIZON, Optional decomposition of optional supermartingales and applications to filtering and finance, On Pricing Rules and Optimal Strategies in General Kyle--Back Models, Dynamic Markov bridges motivated by models of insider trading, Inconspicuousness and obfuscation: how large shareholders dynamically manipulate output and information for trading purposes, Optimal investment with inside information and parameter uncertainty, Kyle equilibrium under random price pressure

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