Strategic insider trading equilibrium: a filter theory approach
Tóm tắt
Từ khóa
Tài liệu tham khảo
Admati A.R., Pfleiderer P.: A theory of intraday patterns: volume and price variability. Rev. Financ. Stud. 1(1), 3–40 (1988)
Biagini F., Øksendal B.: A general stochastic calculus approach to insider trading. Appl. Math. Optim. 52, 167–181 (2005)
Davis M.H.A.: Linear Estimation and Stochastic Control. Chapman and Hall, London (1977)
Davis M.H.A.: Lectures on Stochastic Control and Nonlinear Filtering. Tata Institute of Fundamental Research, Bombay (1984)
Eide, I.B.: An equilibrium model for gradually revealed asymmetric information. University of Oslo 6/2007 (Preprint, 2007)
Glosten L.R., Milgrom P.R.: Bid, ask and transaction prices in a specialist market with heterogeneously informed traders. J. Financ. Econ. 14, 71–100 (1985)
Grossman S.J., Stiglitz J.E.: On the impossibility of informationally efficient markets. Am. Econ. Rev. 70, 393–408 (1980)
Holden C.W., Subrahmanyam A.: Long-lived private information and imperfect competition. J. Finance XLVII(1), 247–270 (1992)
Kalman R.E.: A new approach to linear filtering and prediction problems. J. Basic Eng. D 82, 35–45 (1960)
Russo F., Vallois P.: Forward, backward and symmetric stochastic integration. Probab. Theory Relat. Fields 97, 403–421 (1993)
Russo F., Vallois P.: The generalized covariation process and Itô formula. Stoch. Process. Appl. 59, 81–104 (1995)