A market model with medium/long-term effects due to an insider

作者：Hata Hiroaki; Kohatsu Higa Arturo^*

来源：Quantitative Finance, 2013, 13(3): 421-437.

DOI：10.1080/14697688.2012.695084

• Agent based modelling
• Insider trading
• Liquidity modelling
• Market microstructure
• Mathematical finance
• Portfolio analysis
• Stochastic differential equations
• D
• D5
• D8
• D82

In this article, we consider a modification of the KaratzasPikovsky model of insider trading. Specifically, we suppose that the insider agent influences the long/medium-term evolution of BlackScholes type model through the drift of the stochastic differential equation. We say that the insider agent is using a portfolio leading to a partial equilibrium if the following three properties are satisfied: (a) the portfolio used by the insider leads to a stock price which is a semimartingale under his/her own filtration and his/her own filtration enlarged with the final price; (b) the portfolio used by the insider is optimal in the sense that it maximises the logarithmic utility for the insider when his/her filtration is fixed;

• 出版日期2013-3-1