典型文献
Insider Trading with a Random Deadline under Partial Observations:Maximal Principle Method
文献摘要：
For a revised model of Caldentey and Stacchetti(Econometrica,2010)in continuous-time insider trading with a random deadline which allows market makers to observe some information on a risky asset,a closed form of its market equilibrium consisting of optimal insider trading intensity and market liquidity is obtained by maximum principle method.It shows that in the equilibrium,(ⅰ)as time goes by,the optimal insider trading intensity is exponentially increasing even up to infinity while both the market liquidity and the residual information are exponentially decreasing even down to zero;(ⅱ)the more accurate information observed by market makers,the stronger optimal insider trading intensity is such that the total expect profit of the insider is decreasing even go to zero while both the market liquidity and the residual information are decreasing;(ⅲ)the longer the mean of random time,the weaker the optimal insider trading intensity is while the more both the residual information and the expected profit are,but there is a threshold of trading time,half of the mean of the random time,such that if and only if after it the market liquidity is increasing with the mean of random time increasing.
文献关键词：
中图分类号：
作者姓名：
Kai XIAO;Yong-hui ZHOU
作者机构：
School of Mathematical Sciences,Guizhou Normal University,Guiyang 550001,China;School of Big Data and Computer Science,Guizhou Normal University,Guiyang 550001,China
文献出处：
引用格式：
[1]Kai XIAO;Yong-hui ZHOU-.Insider Trading with a Random Deadline under Partial Observations:Maximal Principle Method)[J].应用数学学报（英文版）,2022(04):753-762
A类：
Caldentey,Stacchetti,Econometrica
B类：
Insider,Trading,Random,Deadline,under,Partial,Observations,Maximal,Principle,Method,For,revised,model,continuous,insider,trading,random,deadline,which,allows,market,makers,some,information,risky,asset,closed,its,equilibrium,consisting,optimal,intensity,liquidity,obtained,by,maximum,principle,method,It,shows,that,goes,exponentially,increasing,even,up,infinity,while,both,residual,are,decreasing,down,zero,more,accurate,observed,stronger,such,total,profit,longer,mean,weaker,expected,but,there,threshold,half,if,only,after
AB值：
0.417311
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