Publication Cover
Stochastics
An International Journal of Probability and Stochastic Processes
Volume 82, 2010 - Issue 1: Special issue on Filtering and Stochastic Control
180
Views
16
CrossRef citations to date
0
Altmetric
Original Articles

Stock market insider trading in continuous time with imperfect dynamic information

Pages 111-131 | Received 04 Dec 2007, Accepted 16 Apr 2009, Published online: 16 Feb 2010

References

  • S. Ankirchner and P. Imkeller, Financial markets with asymmetric information: Information drift, additional utility and entropy, 2006, preprint. Available at http://wws.mathematik.hu-berlin.de/∼imkeller
  • Back , K. 1992 . Insider trading in continuous time . Rev. Financ. Stud. , 5 ( 3 ) : 387 – 409 .
  • Back , K. and Pedersen , H. 1998 . Long-lived information and intraday patterns . J. Financ. Markets , 1 ( 3–4 ) : 385 – 402 .
  • Biagini , F. and Øksendal , B. 2006 . Minimal variance hedging for insider trading . Int. J. Theoret. Appl. Finance , 9 ( 8 ) : 1351 – 1375 .
  • Brunnermeier , M.K. 2001 . Asset Pricing Under Asymmetric Information – Bubbles, Crashes, Technical Analysis and Herding , New York, NY : Oxford University Press .
  • Campi , L. and Cetin , U. 2007 . Insider trading in an equilibrium model with default: A passage from reduced-form to structural modeling . Finance Stoch. , 11 ( 4 ) : 591 – 602 .
  • Cho , K.-H. 2003 . Continuous auctions and insider trading . Finance Stoch. , 7 : 47 – 71 .
  • Kallenberg , O. 2001 . Foundations of Modern Probability , 2nd ed. , New York, NY : Springer-Verlag .
  • Karatzas , I. and Pikovsky , I. 1996 . Anticipative stochastic optimization . Adv. Appl. Probab. , 28 : 1095 – 1122 .
  • Karatzas , I. and Shreve , S.E. 1991 . Brownian Motion and Stochastic Calculus , 2nd ed. , Heidelberg : Springer-Verlag .
  • Liptser , R.S. and Shiryaev , A.N. 2001 . Statistics of Random Processes , 2nd ed. , New York, NY : Springer-Verlag .
  • Mansuy , R. and Yor , M. 2006 . Random Times and Enlargements of Filtrations in a Brownian Setting , New York, NY : Springer Verlag .
  • O'Hara , M. 1995 . Market Microstructure Theory , Malden, MA : Blackwell Publishing Ltd .
  • Protter , P.E. 2004 . Stochastic Integration and Differential Equations , 2nd ed. , Vol. 2.1 , Berlin : Springer-Verlag .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.