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The financial value of a weak information on a financial market

Author

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  • Fabrice Baudoin
  • Laurent Nguyen-Ngoc

Abstract

The results of [4] are extended under weaker assumptions to d-dimensional and possibly discontinuous processes and applied to the modelling of weak anticipations both on complete and incomplete financial markets. In the case of a complete market, we show that there exists a minimal probability measure associated with an anticipation. Remarkably, this minimal probability does not depend on the selected utility function. Throughout the paper, Markovian models are studied in details as canonical examples. Copyright Springer-Verlag Berlin/Heidelberg 2004

Suggested Citation

  • Fabrice Baudoin & Laurent Nguyen-Ngoc, 2004. "The financial value of a weak information on a financial market," Finance and Stochastics, Springer, vol. 8(3), pages 415-435, August.
    • Handle: RePEc:spr:finsto:v:8:y:2004:i:3:p:415-435
    DOI: 10.1007/s00780-003-0116-1
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    Citations

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    Cited by:

    1. Álvaro Cartea & Sebastian Jaimungal & Damir Kinzebulatov, 2016. "Algorithmic Trading With Learning," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(04), pages 1-30, June.
    2. Ayelet Amiran & Fabrice Baudoin & Skylyn Brock & Berend Coster & Ryan Craver & Ugonna Ezeaka & Phanuel Mariano & Mary Wishart, 2018. "The financial value of knowing the distribution of stock prices in discrete market models," Papers 1808.03186, arXiv.org.
    3. Bernardo D'Auria & Jos'e Antonio Salmer'on, 2019. "Insider information and its relation with the arbitrage condition and the utility maximization problem," Papers 1909.03430, arXiv.org, revised Dec 2019.
    4. D'Auria, Bernardo & Salmerón Garrido, José Antonio, 2019. "Insider information and its relation with the arbitrage condition and the utility maximization problem," DES - Working Papers. Statistics and Econometrics. WS 28805, Universidad Carlos III de Madrid. Departamento de Estadística.
    5. Luciano Campi & Matteo del Vigna, 2011. "Weak Insider Trading and Behavioral Finance," Working Papers hal-00566185, HAL.
    6. David B Colwell & David Feldman & Wei Hu & Monique Pontier, 2023. "Information, Insider Trading, Executive Reload Stock Options, Incentives, and Regulation," Working Papers hal-04116818, HAL.
    7. Hoyle, Edward & Hughston, Lane P. & Macrina, Andrea, 2011. "Lévy random bridges and the modelling of financial information," Stochastic Processes and their Applications, Elsevier, vol. 121(4), pages 856-884, April.
    8. Luke M. Bennett & Wei Hu, 2023. "Filtration enlargement‐based time series forecast in view of insider trading," Journal of Economic Surveys, Wiley Blackwell, vol. 37(1), pages 112-140, February.
    9. Albina Danilova & Michael Monoyios & Andrew Ng, 2009. "Optimal investment with inside information and parameter uncertainty," Papers 0911.3117, arXiv.org, revised Feb 2010.

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