Article1998

Insider Trading in a Continuous Time Market Model

134 citations0/0 files storedInternational Journal of Theoretical and Applied Finance

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Stochastic processes and financial applications Financial Markets and Investment Strategies Securities Regulation and Market Practices

Abstract

This paper uses the enlargement of Brownian filtrations and a probability change for modelling the observation of a financial market by an insider trader. A characterization of admissible strategies and a criterion for optimization are given. Then a statistical test is proposed to test whether or not the trader is an insider.

Citations in this library

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References

1985Continuous Auctions and Insider Trading 1999Continuous Martingales and Brownian Motion 1991Dirichlet Forms and Analysis on Wiener Space 1978Stochastic calculus of variations and hypoelliptic operators 1992Insider Trading in Continuous Time 1996Anticipative portfolio optimization 1990Optimal portfolio for a small investor in a market model with discontinuous prices

Cited by

2005A General Stochastic Calculus Approach to Insider Trading 2003A monetary value for initial information in portfolio optimization 2000Martingale representation theorems for initially enlarged filtrations 2001Free lunch and arbitrage possibilities in a financial market model with an insider 2006The Shannon information of filtrations and the additional logarithmic utility of insiders 2004Additional utility of insiders with imperfect dynamical information 2003Malliavin's Calculus in Insider Models: Additional Utility and Free Lunches 2002Random times at which insiders can have free lunches

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