Insider trading, stochastic liquidity, and equilibrium prices
From MaRDI portal
Publication:4613429
Recommendations
- Equilibrium price and optimal insider trading strategy under stochastic liquidity with long memory
- scientific article; zbMATH DE number 1827979
- An equilibrium model of insider trading in continuous time
- Strategic insider trading equilibrium: a filter theory approach
- Pricing rules of stochastic pressure under asymmetric information in a continuous time market
Cited in
(37)- Insider trading equilibrium in a market with memory
- New evidence on market response to public announcements in the presence of microstructure noise
- Insider trading with a random deadline under partial observations: maximal principle method
- A reputation game on cyber-security and cyber-risk calibration
- Linear Bayesian equilibrium in insider trading with a random time under partial observations
- Liquidity and volatility of stocks moved from the main market to the alternative investment market (AIM)
- Equilibrium price and optimal insider trading strategy under stochastic liquidity with long memory
- Insider trading with memory under random deadline
- Price manipulation, dynamic informed trading, and the uniqueness of equilibrium in sequential trading
- Kyle equilibrium under random price pressure
- Prospect theory and market quality
- Liquidity and the marginal value of information
- A general stochastic calculus approach to insider trading
- Concentrated equilibrium and intraday patterns in financial markets
- Optimal trading in order based markets with semi-rational noise traders. Decay and reinforcement of irrational behaviour
- Private Information and High-Frequency Stochastic Volatility
- Stock market insider trading in continuous time with imperfect dynamic information
- scientific article; zbMATH DE number 5637944 (Why is no real title available?)
- Insider Trading in a Continuous Time Market Model
- Kyle-Back equilibrium models and linear conditional mean-field SDEs
- KYLE–BACK’S MODEL WITH A RANDOM HORIZON
- Trader Anonymity, Price Formation and Liquidity *
- Insiders and Their Free Lunches: The Role of Short Positions
- On pricing rules and optimal strategies in general Kyle-Back models
- Insiders' hedging in a stochastic volatility model
- A Large Trader-Insider Model
- Pricing rules of stochastic pressure under asymmetric information in a continuous time market
- Trading Constraints in Continuous-Time Kyle Models
- Kyle-back models with risk aversion and non-Gaussian beliefs
- Dampening effect and market efficiency
- Strategic trading with information acquisition and long-memory stochastic liquidity
- On the equilibrium of insider trading under information acquisition with long memory
- On the structure and existence of linear equilibria with a constrained trader
- Pricing American options with exogenous and endogenous transaction costs
- Equilibrium of insider trading on dynamic asset with stochastic liquidity under partial observations
- Kyle's model with stochastic liquidity
- Insider trading at a random deadline with correlation between dynamic asset and stochastic liquidity
This page was built for publication: Insider trading, stochastic liquidity, and equilibrium prices
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4613429)