IDEAS home Printed from https://ideas.repec.org/a/spr/finsto/v8y2004i3p415-435.html
   My bibliography  Save this article

The financial value of a weak information on a financial market

Author

Listed:
  • 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
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1007/s00780-003-0116-1
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1007/s00780-003-0116-1?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

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


    Cited by:

    1. 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.
    2. 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.
    3. 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.
    4. 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.
    5. Luciano Campi & Matteo del Vigna, 2011. "Weak Insider Trading and Behavioral Finance," Working Papers hal-00566185, HAL.
    6. 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.
    7. 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.
    8. 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.
    9. Albina Danilova & Michael Monoyios & Andrew Ng, 2009. "Optimal investment with inside information and parameter uncertainty," Papers 0911.3117, arXiv.org, revised Feb 2010.
    10. Fabrice Baudoin & Oleksii Mostovyi, 2024. "The indifference value of the weak information," Papers 2408.02137, arXiv.org.

    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:spr:finsto:v:8:y:2004:i:3:p:415-435. See general information about how to correct material in RePEc.

    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.

    We have no bibliographic references for this item. You can help adding them by using 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.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

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

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.