Strategic insider trading equilibrium: A filter theory approach

被引：11
作者：
Aase K.K. [1 ,2 ]
Bjuland T. [2 ]
Øksendal B. [1 ,2 ]
机构：
[1] Department of Mathematics, Centre of Mathematics for Applications (CMA), University of Oslo, 0316 Oslo, P.O. Box 1053, Blindern
[2] Norwegian School of Economics and Business Administration (NHH), 5045 Bergen
来源：
Afrika Matematika | 2012年 / 23卷 / 2期
基金：
欧洲研究理事会;
关键词：
Equilibrium; Innovation equation; Insider trading; Linear filter theory; Strategic trade;
D O I：
10.1007/s13370-011-0026-x
中图分类号：
学科分类号：
摘要：
The continuous-time version of Kyle's (Econometrica 53(6):1315-1336, 1985) model of asset pricing with asymmetric information is studied, and generalized in various directions, i. e., by allowing time-varying liquidity trading, and by having weaker a priori assumptions on the model. This extension is made possible by the use of filtering theory. We derive the optimal trade for an insider and the corresponding price of the risky asset; the insider's trading intensity satisfies a deterministic integral equation, given perfect inside information. © 2011 The Author(s).
引用
收藏
页码：145 / 162
页数：17
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