dc.contributor
Agència de Gestió d'Ajuts Universitaris i de Recerca
dc.contributor.author
Corcuera Valverde, José Manuel
dc.contributor.author
Farkas, Gergely
dc.contributor.author
Di Nunno, Giulia
dc.contributor.author
Øksendal, B. K. (Bernt Karsten), 1945-
dc.date.accessioned
2012-07-12T10:40:40Z
dc.date.available
2012-07-12T10:40:40Z
dc.date.created
2011-03-24
dc.date.issued
2012-07-12
dc.identifier.uri
http://hdl.handle.net/2072/199557
dc.description.abstract
We analyse in a unified way how the presence of a trader with privilege information makes the market to be efficient when the release time is known. We establish a general relation between the problem of finding an equilibrium and the problem of enlargement of filtrations. We also consider the case where the time of announcement is random. In such a case the market is not fully efficient and there exists equilibrium if the sensitivity of prices with respect to the global demand is time decreasing according with the distribution of the random time.
eng
dc.format.extent
22 p.
cat
dc.relation.ispartofseries
Els ajuts de l'AGAUR;2010FI_B2 00129
dc.rights
info:eu-repo/semantics/openAccess
dc.rights
L'accés als continguts d'aquest document queda condicionat a l'acceptació de les condicions d'ús establertes per la següent llicència Creative Commons: http://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.other
Mercats financers
cat
dc.subject.other
Operacions amb informació privilegiada
cat
dc.subject.other
Processos estocàstics
cat
dc.subject.other
Semimartingales (Matemàtica)
cat
dc.title
A general continuous auction model with insiders
cat
dc.type
info:eu-repo/semantics/report
cat
