A General Stochastic Calculus Approach to Insider Trading
نویسندگان
چکیده
منابع مشابه
Insider Trading with Stochastic Valuation†
This paper studies a model of strategic trading with asymmetric information of an asset whose value follows a Brownian motion. An insider continuously observes a signal that tracks the evolution of the asset fundamental value. At a random time a public announcement reveals the current value of the asset to all the traders. The equilibrium has two regimes separated by an endogenously determined ...
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We investigate informed trading activity in equity options prior to the announcement of corporate mergers and acquisitions (M&A). For the target companies, we document pervasive directional options activity, consistent with strategies that would yield abnormal returns to investors with private information. This is demonstrated by positive abnormal trading volumes, excess implied volatility and ...
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Stochastic network calculus is a newly developed theory for stochastic ser-vice guarantee analysis of computer networks. In the current stochastic net-work calculus literature, its fundamental models are based on the cumulativeamount of traffic or cumulative amount of service. However, there are net-work scenarios where direct application of such models is difficult. This pa...
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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 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 ri...
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ژورنال
عنوان ژورنال: Applied Mathematics and Optimization
سال: 2005
ISSN: 0095-4616,1432-0606
DOI: 10.1007/s00245-005-0825-2