Hadiza Moussa Saley () (Institut Elie Cartan, Université Nancy 1 , B.P. 239, 54506 Vandoeuvre les Nancy Cedex.) Bernard De Meyer () (CERMSEM, Université Paris 1 , Maison des sciences économiques, 106-112, Bd de l'Hopital, 75647 Paris cedex 13.)
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This paper is concerned with the strategic use of a private information on the stock market. A repeated auction model is used to analyze the evolution of the price system on a market with asymmetric information.
The model turns out to be a zero-sum repeated game with one-sided information, as introduced by Aumann and Maschler.
The stochastic evolution of the price system can be explicitly computed in the n times repeated case. As n grows to \infty, this process tends to a continuous time martingale related to a Brownian Motion.
This paper provides in this way an endogenous justification for the appearance of Brownian Motion in Finance theory.
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