Strategic trading with information acquisition and long-memory stochastic liquidity
From MaRDI portal
Publication:6167433
Cites work
- scientific article; zbMATH DE number 1546925 (Why is no real title available?)
- A Mean Field Game Approach to Equilibrium Pricing with Market Clearing Condition
- A jump model for fads in asset prices under asymmetric information
- A probabilistic method for a class of non-Lipschitz BSDEs with application to fund management
- A pseudo-Bayesian model in financial decision making with implications to market volatility, under- and overreaction
- A time-inconsistent Dynkin game: from intra-personal to inter-personal equilibria
- Activism, strategic trading, and liquidity
- Continuous Auctions and Insider Trading
- Dynamic mean-variance problem with frictions
- Equilibrium price and optimal insider trading strategy under stochastic liquidity with long memory
- Equilibrium pricing in incomplete markets under translation invariant preferences
- Excess volatility: beyond discount rates
- Extending the Fama and French model with a long term memory factor
- Herding and contrarian behavior in financial markets
- Information in Securities Markets: Kyle Meets Glosten and Milgrom
- Insider trading with a random deadline
- Insider trading, stochastic liquidity, and equilibrium prices
- Kyle-Back equilibrium models and linear conditional mean-field SDEs
- Macroeconomic environment, money demand and portfolio choice
- On calibration of stochastic and fractional stochastic volatility models
- One-dimensional BSDEs with finite and infinite time horizons
- Open-loop equilibrium strategy for mean-variance portfolio problem under stochastic volatility
- Optimal bookmaking
- Optimal consumption and investment strategies with liquidity risk and lifetime uncertainty for Markov regime-switching jump diffusion models
- Relative performance evaluation for dynamic contracts in a large competitive market
- Revisiting advance disclosure of insider trading
- Stochastic calculus for fractional Brownian motion and related processes.
- Stochastic differential game in high frequency market
- The time cost of information in financial markets
- Voluntary information disclosure with heterogeneous beliefs
Cited in
(2)
This page was built for publication: Strategic trading with information acquisition and long-memory stochastic liquidity
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6167433)