scholarly journals Continuous-Time Insider Trading with Risk-Neutral Insider under Imperfect Observation

Complexity ◽  
2021 ◽  
Vol 2021 ◽  
pp. 1-8
Author(s):  
Yonghui Zhou ◽  
Guanglong Zhuang ◽  
Kai Xiao
Keyword(s):  
Insider Trading ◽  
Continuous Time ◽  
Imperfect Information ◽  
Complete Information ◽  
Market Depth ◽  
Asset Value ◽  
Risk Neutral ◽  
Maximal Profit ◽  
Expectation Theory ◽  
Open Question

A model of insider trading in continuous time in which a risk-neutral insider possesses long-lived imperfect information on a risk asset is studied. By conditional expectation theory and filtering theory, we turn it into a model with insider knowing complete information about the asset with a revised risky value and deduce its linear Bayesian equilibrium consisting of optimal insider trading strategy and semistrong pricing rule. It shows that, in the equilibrium, as the degree of insider observing the signal of the risky asset value is more and more accurate, market depth, trading intensity, and residual information are all decreasing and the total expectation profit of the insider is increasing and that the information about the asset value incorporated into the equilibrium price, which has nothing to do with the volatility of noise trades, is increasing as time goes by, but not all information of asset value is incorporated into the price in the final disclosed time due to the incompleteness of insider’s observation, though the market depth is still a time-independent constant. Some simulations are illustrated to show these features. However, it is an open question of how to make maximal profit if the insider is risk-averse.

scholarly journals Insider Trading with Memory under Random Deadline

2021 ◽  
Vol 2021 ◽  
pp. 1-7
Author(s):  
Kai Xiao ◽  
Yonghui Zhou
Keyword(s):  
Numerical Simulation ◽  
Insider Trading ◽  
Continuous Time ◽  
Fixed Time ◽  
Necessary Condition ◽  
Noise Traders ◽  
Filtering Theory ◽  
Optimal Trading ◽  
Asset Value ◽  
With Memory

In this paper, we study a model of continuous-time insider trading in which noise traders have some memories and the trading stops at a random deadline. By a filtering theory on fractional Brownian motion and the stochastic maximum principle, we obtain a necessary condition of the insider’s optimal strategy, an equation satisfied. It shows that when the volatility of noise traders is constant and the noise traders’ memories become weaker and weaker, the optimal trading intensity and the corresponding residual information tend to those, respectively, when noise traders have no any memory. And, numerical simulation illustrates that if both the trading intensity of the insider and the volatility of noise trades are independent of trading time, the insider’s expected profit is always lower than that when the asset value is disclosed at a finite fixed time; this is because the trading time ahead is a random deadline which yields the loss of the insider’s information.

Democracy, reputation for resolve, and civil conflict

2021 ◽  
pp. 002234332110246
Author(s):  
Casey Crisman-Cox
Keyword(s):  
Empirical Model ◽  
Continuous Time ◽  
Statistical Approach ◽  
Dynamic Game ◽  
Civil Conflict ◽  
Regime Type ◽  
Credibility Theory ◽  
Civil Conflicts ◽  
Using Data ◽  
Open Question

There is a long-running disagreement about how regime type affects a country’s ability to project resolve. Specifically, there is an open question about whether being a democracy helps or hurts a country’s reputation for resolve. I consider this question by directly estimating a state’s reputation for resolve using a unified theoretical and statistical approach. To be precise, I derive an empirical model from a dynamic game of continuous-time bargaining where each side fights in order to build a reputation for resolve. I then fit this model using data on the duration and termination of civil conflicts between 1946 and 2009. I find that while governments tend to have stronger reputations for resolve than the rebels they face, democracies are seen as much less likely to be resolved both prior to and during conflict than their autocratic counterparts. Likewise, democracies are more likely to end a conflict by making a policy change in favor of the rebels than autocracies. Despite these differences, both democracies and autocracies experience a discrete increase in their reputations for resolve once conflict begins, with democracies receiving a much larger boost. As such, these findings contrast with a large literature on democratic credibility theory, while simultaneously providing evidence consistent with some of the logic behind democratic credibility theory.

The relative efficiency of direct and maximum likelihood estimates of mean waiting time in the simple queue, M/M/1

1972 ◽  
Vol 9 (2) ◽  
pp. 396-403 ◽  
Author(s):  
John H. Jenkins
Keyword(s):  
Maximum Likelihood ◽  
Waiting Time ◽  
Continuous Time ◽  
Relative Efficiency ◽  
Asymptotic Variance ◽  
Complete Information ◽  
Maximum Likelihood Estimates ◽  
Time Study ◽  
Direct Estimate ◽  
Mean Waiting Time

A problem of estimating waiting time in the statistical analysis of queues is investigated. The continuous time study of the M/M/1 queue made by Bailey is adapted to obtain the asymptotic variance of a direct estimate of waiting time as obtained under conditions of incomplete information. This is then compared with the asymptotic variance of the maximum likelihood estimate as obtained under conditions of complete information and based on the results of Clarke.

INSIDER TRADING IN CONTINUOUS TIME

2006 ◽  
Author(s):  
EMILIO BARUCCI ◽  
ROBERTO MONTE ◽  
BARBARA TRIVELLATO
Keyword(s):  
Insider Trading ◽  
Continuous Time

The spectral gap and perturbation bounds for reversible continuous-time Markov chains

2004 ◽  
Vol 41 (4) ◽  
pp. 1219-1222 ◽  
Author(s):  
A. Yu. Mitrophanov
Keyword(s):  
Markov Chains ◽  
Continuous Time ◽  
Spectral Gap ◽  
Complete Information ◽  
Stationary States ◽  
Perturbation Bounds ◽  
Continuous Time Markov Chains ◽  
Distribution Vector

We show that, for reversible continuous-time Markov chains, the closeness of the nonzero eigenvalues of the generator to zero provides complete information about the sensitivity of the distribution vector to perturbations of the generator. Our results hold for both the transient and the stationary states.

The War of Attrition in Continuous Time with Complete Information

1988 ◽  
Vol 29 (4) ◽  
pp. 663 ◽  
Author(s):  
Ken Hendricks ◽  
Andrew Weiss ◽  
Charles Wilson
Keyword(s):  
Continuous Time ◽  
Complete Information ◽  
War Of Attrition

scholarly journals Representing and Reasoning About the Rules of General Games With Imperfect Information

2014 ◽  
Vol 49 ◽  
pp. 171-206 ◽  
Author(s):  
S. Schiffel ◽  
M. Thielscher
Keyword(s):  
Imperfect Information ◽  
Complete Information ◽  
Game Playing ◽  
Description Language ◽  
General Game Playing ◽  
Game State ◽  
High Level ◽  
Game Description Language ◽  
General Game ◽  
Representation Formalism

A general game player is a system that can play previously unknown games just by being given their rules. For this purpose, the Game Description Language (GDL) has been developed as a high-level knowledge representation formalism to communicate game rules to players. In this paper, we address a fundamental limitation of state-of-the-art methods and systems for General Game Playing, namely, their being confined to deterministic games with complete information about the game state. We develop a simple yet expressive extension of standard GDL that allows for formalising the rules of arbitrary finite, n-player games with randomness and incomplete state knowledge. In the second part of the paper, we address the intricate reasoning challenge for general game-playing systems that comes with the new description language. We develop a full embedding of extended GDL into the Situation Calculus augmented by Scherl and Levesque's knowledge fluent. We formally prove that this provides a sound and complete reasoning method for players' knowledge about game states as well as about the knowledge of the other players.

Insider Trading in Continuous Time

1992 ◽  
Vol 5 (3) ◽  
pp. 387-409 ◽  
Author(s):  
Kerry Back
Keyword(s):  
Insider Trading ◽  
Continuous Time
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