The financial value of a weak information on a financial market

The financial value of a weak information on a financial market

The results of [4] are extended under weaker assumptions to d-dimensional and possibly discontinuous processes and applied to the modelling of weak anticipations both on complete and incomplete financial markets. In the case of a complete market, we show that there exists a minimal probability measure associated with an anticipation. Remarkably, this minimal probability does not depend on the s...

a study on insurer solvency by panel data model: the case of iranian insurance market

the aim of this thesis is an approach for assessing insurer’s solvency for iranian insurance companies. we use of economic data with both time series and cross-sectional variation, thus by using the panel data model will survey the insurer solvency.

A bound on the financial value of information

-It will be shown that each bit of information at most doubles the resulting wealth in the general stock market setup. This information bound on the growth of wealth is actually' attained for certain probability distributions on the market investigated by Kelly. The bound will be shown to be a special case of the result that the increase in exponential growth of wealth achieved with true knowle...

A Run On A Financial Market∗

Our paper offers a minimalist model of a run on a financial market. The prime ingredient is that each investor fears having to liquidate after a run, but before prices can recover back to fundamental values. During the run, only the market-making sector is willing to absorb shares. To avoid having to possibly liquidate shares at the marginal post-run price—in which case the market-making sector...

Financial market crisis and financial market channel