dc.date.accessioned | 2013-03-12T08:20:23Z | |
dc.date.available | 2013-03-12T08:20:23Z | |
dc.date.issued | 2007 | en_US |
dc.date.submitted | 2009-11-13 | en_US |
dc.identifier.uri | http://hdl.handle.net/10852/10523 | |
dc.description.abstract | The continuous-time version of Kyle's (1985) model of asset pricing with asymmetric information is studied, and generalized in various directions, i.e., by allowing time-varying noise trading, and by allowing the orders of the noise traders to be correlated with the insider's signal. From rather simple assumptions we are able to derive the optimal trade for an insider; the trading intensity satisfies a deterministic integral equation, given perfect inside information.
We use a new technique called forward integration in order to find the optimal trading strategy. This is an extension of the stochastic integral which takes account of the informational asymmetry inherent in this problem. The market makers' price response is found by the use of filtering theory. The novelty is our approach, which could be extended in scope. | eng |
dc.language.iso | eng | en_US |
dc.publisher | Matematisk Institutt, Universitetet i Oslo | |
dc.relation.ispartof | Preprint series. Pure mathematics http://urn.nb.no/URN:NBN:no-8076 | en_US |
dc.relation.uri | http://urn.nb.no/URN:NBN:no-8076 | |
dc.rights | © The Author(s) (2007). This material is protected by copyright law. Without explicit authorisation, reproduction is only allowed in so far as it is permitted by law or by agreement with a collecting society. | |
dc.title | Strategic Insider Trading Equilibrium: A Forward Integration Approach | en_US |
dc.type | Research report | en_US |
dc.date.updated | 2009-11-13 | en_US |
dc.rights.holder | Copyright 2007 The Author(s) | |
dc.creator.author | Aase, Knut K. | en_US |
dc.creator.author | Bjuland, Terje | en_US |
dc.creator.author | Øksendal, Bernt | en_US |
dc.subject.nsi | VDP::410 | en_US |
dc.identifier.urn | URN:NBN:no-23486 | en_US |
dc.type.document | Forskningsrapport | en_US |
dc.identifier.duo | 96823 | en_US |
dc.identifier.fulltext | Fulltext https://www.duo.uio.no/bitstream/handle/10852/10523/1/pm18-07.pdf | |