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dc.date.accessioned2013-03-12T08:20:23Z
dc.date.available2013-03-12T08:20:23Z
dc.date.issued2007en_US
dc.date.submitted2009-11-13en_US
dc.identifier.urihttp://hdl.handle.net/10852/10523
dc.description.abstractThe 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 noise trading, and by allowing the orders of the noise traders to be correlated with the insider's signal. From rather simple assumptions we are able to derive the optimal trade for an insider; the trading intensity satisfies a deterministic integral equation, given perfect inside information. We use a new technique called forward integration in order to find the optimal trading strategy. This is an extension of the stochastic integral which takes account of the informational asymmetry inherent in this problem. The market makers' price response is found by the use of filtering theory. The novelty is our approach, which could be extended in scope.eng
dc.language.isoengen_US
dc.publisherMatematisk Institutt, Universitetet i Oslo
dc.relation.ispartofPreprint series. Pure mathematics http://urn.nb.no/URN:NBN:no-8076en_US
dc.relation.urihttp://urn.nb.no/URN:NBN:no-8076
dc.titleStrategic Insider Trading Equilibrium: A Forward Integration Approachen_US
dc.typeResearch reporten_US
dc.date.updated2009-11-13en_US
dc.creator.authorAase, Knut K.en_US
dc.creator.authorBjuland, Terjeen_US
dc.creator.authorØksendal, Bernten_US
dc.subject.nsiVDP::410en_US
dc.identifier.urnURN:NBN:no-23486en_US
dc.type.documentForskningsrapporten_US
dc.identifier.duo96823en_US
dc.identifier.fulltextFulltext https://www.duo.uio.no/bitstream/handle/10852/10523/1/pm18-07.pdf


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