INSIDER TRADING WITH TEMPORARY PRICE IMPACT

DOI10.1142/S0219024921500060zbMath1466.91304arXiv2007.14162OpenAlexW3127354896MaRDI QIDQ4994440

Weston Barger, Ryan Donnelly

Publication date: 18 June 2021

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2007.14162

zbMATH Keywords

asymmetric informationtransaction costmarket microstructureprice impact

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26) Financial markets (91G15)

Related Items (2)

What if we knew what the future brings? Optimal investment for a frontrunner with price impact ⋮ Trading Constraints in Continuous-Time Kyle Models

Cites Work

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• Continuous-time stochastic control and optimization with financial applications
• Portfolio selection with transactions costs
• Risk aversion, imperfect competition, and long-lived information
• Continuous Auctions and Insider Trading
• The Analyticity of the Roots of a Polynomial as Functions of the Coefficients
• Portfolio Selection with Transaction Costs
• Ordinary Differential Equations

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