IDEAS home Printed from https://ideas.repec.org/h/wsi/wschap/9789814366038_0002.html
   My bibliography  Save this book chapter

Two Examples of an Insider with Medium/Long Term Effects on the Underlying

In: Recent Advances In Financial Engineering 2010

Author

Listed:
  • Hiroaki Hata

    (Institute of Mathematics, Academia Sinica, No. 1, Section 4, Roosevelt Road, Taipei, 106-17, Taiwan)

  • Arturo Kohatsu-Higa

    (Osaka University. Graduate School of Engineering Sciences Machikaneyama cho 1-3, Osaka 560-8531, Japan)

Abstract

In a recent article [4], we have developed a market model where an insider trades using future information on the value of the underlying, through these trades it creates an effect on the drift of the underlying model. We find points of partial equilibria. That is, when the filtration is fixed the chosen portfolio is optimal, leads to finite utility of the insider and prices are semimartingales in their own filtration. In this article, we treat two explicit examples in detail. The first is an insider which has a medium term effect on the price. The second is an insider which has a long term effect on the price with memory effects. These examples were quoted in [4] but no details were given.

Suggested Citation

  • Hiroaki Hata & Arturo Kohatsu-Higa, 2011. "Two Examples of an Insider with Medium/Long Term Effects on the Underlying," World Scientific Book Chapters, in: Masaaki Kijima & Chiaki Hara & Yukio Muromachi & Hidetaka Nakaoka & Katsumasa Nishide (ed.), Recent Advances In Financial Engineering 2010, chapter 2, pages 19-42, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789814366038_0002
    as

    Download full text from publisher

    File URL: https://www.worldscientific.com/doi/pdf/10.1142/9789814366038_0002
    Download Restriction: Ebook Access is available upon purchase.
    File URL: https://www.worldscientific.com/doi/abs/10.1142/9789814366038_0002
    Download Restriction: Ebook Access is available upon purchase.
    ---><---

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

    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:wsi:wschap:9789814366038_0002. 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: Tai Tone Lim (email available below). General contact details of provider: http://www.worldscientific.com/page/worldscibooks .

    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.