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Insider Trading in a Continuous Time Market Model

Author

Listed:
  • Axel Grorud

    (C.M.I., Université de Provence, 39 rue Joliot-Curie, 13453 MARSEILLE cedex 13, OMEGA, INRIA, BP 93, F06902 Sophia-Antipolis, France)

  • Monique Pontier

    (U.M.R. CNRS 6628, Bâtiment de Mathématiques, Université d'Orléans, B.P. 6759, 45067 ORLEANS cedex 02, France)

Abstract

This paper uses the enlargement of Brownian filtrations and a probability change for modelling the observation of a financial market by an insider trader. A characterization of admissible strategies and a criterion for optimization are given. Then a statistical test is proposed to test whether or not the trader is an insider.

Suggested Citation

  • Axel Grorud & Monique Pontier, 1998. "Insider Trading in a Continuous Time Market Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 1(03), pages 331-347.
    • Handle: RePEc:wsi:ijtafx:v:01:y:1998:i:03:n:s0219024998000199
    DOI: 10.1142/S0219024998000199
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