Strategic insider trading equilibrium: a filter theory approach
نویسندگان
چکیده
منابع مشابه
Strategic Insider Trading Equilibrium: A Filter Theory Approach
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: Afrika Matematika
سال: 2011
ISSN: 1012-9405,2190-7668
DOI: 10.1007/s13370-011-0026-x