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Stochastics
An International Journal of Probability and Stochastic Processes
Volume 82, 2010 - Issue 1: Special issue on Filtering and Stochastic Control
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Original Articles

Stock market insider trading in continuous time with imperfect dynamic information

Albina Danilova Department of Mathematics, Columbia House, London School of Economics, Houghton St, London, WC2A 2AE, UKCorrespondence[email protected]
Pages 111-131 | Received 04 Dec 2007, Accepted 16 Apr 2009, Published online: 16 Feb 2010

Citations (16)

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Mohamed Abdelghani & Alexander Melnikov. (2019) Optional decomposition of optional supermartingales and applications to filtering and finance. Stochastics 91:6, pages 797-816.
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Articles from other publishers (15)

Jixiu Qiu & Yonghui Zhou. (2023) Insider trading with dynamic asset under market makers' partial observations. AIMS Mathematics 8:10, pages 25017-25036.
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Yonghui Zhou, Guanglong Zhuang & Kai Xiao. (2021) Continuous-Time Insider Trading with Risk-Neutral Insider under Imperfect Observation. Complexity 2021, pages 1-8.
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Umut Çetin & Albina Danilova. (2021) On Pricing Rules and Optimal Strategies in General Kyle--Back Models. SIAM Journal on Control and Optimization 59:5, pages 3973-3998.
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Yan Dolinsky & Jonathan Zouari. (2021) The value of insider information for super-replication with quadratic transaction costs. Stochastic Processes and their Applications 131, pages 394-416.
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José Manuel Corcuera, Giulia Di Nunno & José Fajardo. (2019) Kyle equilibrium under random price pressure. Decisions in Economics and Finance 42:1, pages 77-101.
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Bart Taub. (2018) Economic and financial modeling techniques in the frequency domain. Economic Theory Bulletin 7:1, pages 1-17.
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Jingen Lu, Xiaohong Chen & Xiaoxing Liu. (2018) Stock market information flow: Explanations from market status and information-related behavior. Physica A: Statistical Mechanics and its Applications 512, pages 837-848.
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Bart Taub. (2018) Inconspicuousness and obfuscation: how large shareholders dynamically manipulate output and information for trading purposes. Annals of Finance 14:4, pages 429-464.
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JOSÉ MANUEL CORCUERA & GIULIA DI NUNNO. (2018) KYLE–BACK’S MODEL WITH A RANDOM HORIZON. International Journal of Theoretical and Applied Finance 21:02, pages 1850016.
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Jin Ma, Rentao Sun & Yonghui Zhou. (2018) Kyle--Back Equilibrium Models and Linear Conditional Mean-Field SDEs. SIAM Journal on Control and Optimization 56:2, pages 1154-1180.
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Umut Çetin & Albina DanilovaUmut Çetin & Albina Danilova. 2018. Dynamic Markov Bridges and Market Microstructure. Dynamic Markov Bridges and Market Microstructure 191 198 .
Umut Çetin & Albina DanilovaUmut Çetin & Albina Danilova. 2018. Dynamic Markov Bridges and Market Microstructure. Dynamic Markov Bridges and Market Microstructure 173 189 .
Umut Çetin & Albina DanilovaUmut Çetin & Albina Danilova. 2018. Dynamic Markov Bridges and Market Microstructure. Dynamic Markov Bridges and Market Microstructure 119 169 .
Miles B. Gietzmann & Adam J. Ostaszewski. (2013) Why managers with low forecast precision select high disclosure intensity: an equilibrium analysis. Review of Quantitative Finance and Accounting 43:1, pages 121-153.
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Albina Danilova, Michael Monoyios & Andrew Ng. (2010) Optimal investment with inside information and parameter uncertainty. Mathematics and Financial Economics 3:1, pages 13-38.
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