IDEAS home Printed from https://ideas.repec.org/p/upf/upfgen/675.html
   My bibliography  Save this paper

Additional utility of insiders with imperfect dynamical information

Author

Listed:
  • José Mª Corcuera
  • Peter Imkeller
  • Arturo Kohatsu
  • David Nualart

Abstract

In this paper we consider an insider with privileged information that is affected by an independent noise vanishing as the revelation time approaches. At this time, information is available to every trader. Our financial markets are based on Wiener space. In probabilistic terms we obtain an infinite dimensional extension of Jacod’s theorem to cover cases of progressive enlargement of filtrations. The application of this result gives the semimartingale decomposition of the original Wiener process under the progressively enlarged filtration. As an application we prove that if the rate at which the additional noise in the insider’s information vanishes is slow enough then there is no arbitrage and the additional utility of the insider is finite.

Suggested Citation

  • José Mª Corcuera & Peter Imkeller & Arturo Kohatsu & David Nualart, 2003. "Additional utility of insiders with imperfect dynamical information," Economics Working Papers 675, Department of Economics and Business, Universitat Pompeu Fabra.
  • Handle: RePEc:upf:upfgen:675
    as

    Download full text from publisher

    File URL: https://econ-papers.upf.edu/papers/675.pdf
    File Function: Whole Paper
    Download Restriction: no

    References listed on IDEAS

    as
    1. Kyle, Albert S, 1985. "Continuous Auctions and Insider Trading," Econometrica, Econometric Society, vol. 53(6), pages 1315-1335, November.
    2. Back, Kerry, 1992. "Insider Trading in Continuous Time," Review of Financial Studies, Society for Financial Studies, vol. 5(3), pages 387-409.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Stefan Ankirchner & Steffen Dereich & Peter Imkeller, 2005. "The Shannon Information of Filtrations and the Additional Logarithmic Utility of Insiders," SFB 649 Discussion Papers SFB649DP2005-030, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    2. Stefan Ankirchner, 2005. "Utility duality under additional information: conditional measures versus filtration enlargements," SFB 649 Discussion Papers SFB649DP2005-029, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.

    More about this item

    Keywords

    Insider trading; enlargement of filtrations; Malliavin's calculus; utility maximization; arbitrage;

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:upf:upfgen:675. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (). General contact details of provider: http://www.econ.upf.edu/ .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.