dc.contributor.author | Aase, Knut K. | |
dc.contributor.author | Bjuland, Terje | |
dc.contributor.author | Øksendal, Bernt | |
dc.date.accessioned | 2013-01-30T12:09:24Z | |
dc.date.accessioned | 2014-09-23T08:01:44Z | |
dc.date.available | 2013-01-30T12:09:24Z | |
dc.date.available | 2014-09-23T08:01:44Z | |
dc.date.issued | 2012 | |
dc.identifier.citation | Afrika Matematika 2012;23:145-162 | nb_NO |
dc.identifier.issn | 1012-9405 | |
dc.identifier.uri | http://hdl.handle.net/11250/221031 | |
dc.description.abstract | 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. | nb_NO |
dc.language.iso | eng | nb_NO |
dc.publisher | Springer | nb_NO |
dc.rights | Navngivelse-Ikkekommersiell-DelPåSammeVilkår 3.0 Norge | * |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-sa/3.0/no/ | * |
dc.subject | insider trading | nb_NO |
dc.subject | equilibrium | nb_NO |
dc.subject | strategic trade | nb_NO |
dc.subject | linear filter theory | nb_NO |
dc.subject | innovation equation | nb_NO |
dc.title | Strategic insider trading equilibrium: A filter theory approach | nb_NO |
dc.type | Journal article | nb_NO |
dc.type | Peer reviewed | nb_NO |
dc.date.updated | 2013-01-30T12:09:24Z | |
dc.source.pagenumber | 145-162 | nb_NO |
dc.source.volume | 23 | nb_NO |
dc.source.journal | Afrika Matematika | nb_NO |
dc.source.issue | 2 | nb_NO |
dc.identifier.doi | 10.1007/s13370-011-0026-x | |
dc.identifier.cristin | 999163 | |