Optimal Insider Trading Strategies in the Generalized Discrete-time Kyle’s Models

碩士 === 國立交通大學 === 應用數學系數學建模與科學計算碩士班 === 101 === KYLE [1985] proposed a model of insider trading in discrete-time and continuous time, and obtained a unique equilibrium. In this thesis, we consider two generalized discrete-time models. The first part, we discuss whether there exists an equilibrium wh...

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Main Authors:	Hsu, Pei-Jung, 許珮蓉
Other Authors:	Wu, Ching-Tang
Format:	Others
Language:	en_US
Published:	2013
Online Access:	http://ndltd.ncl.edu.tw/handle/29376325714246127310

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spelling	ndltd-TW-101NCTU55070732015-10-13T22:45:37Z http://ndltd.ncl.edu.tw/handle/29376325714246127310 Optimal Insider Trading Strategies in the Generalized Discrete-time Kyle’s Models 在廣義的Kyle離散時間模型下探討內線交易者的最佳投資策略 Hsu, Pei-Jung 許珮蓉碩士國立交通大學應用數學系數學建模與科學計算碩士班 101 KYLE [1985] proposed a model of insider trading in discrete-time and continuous time, and obtained a unique equilibrium. In this thesis, we consider two generalized discrete-time models. The first part, we discuss whether there exists an equilibrium when the pricing rule is no more a linear function but an exponential function. The second part, instead of classical Brownian motion, in Kyle’s linear model we investigate a model with a fractional Brownian motion as noise traders’ trading volume, and discuss if there exists a sequential equilibrium under this model. Wu, Ching-Tang 吳慶堂 2013 學位論文 ; thesis 39 en_US
collection	NDLTD
language	en_US
format	Others
sources	NDLTD
description	碩士 === 國立交通大學 === 應用數學系數學建模與科學計算碩士班 === 101 === KYLE [1985] proposed a model of insider trading in discrete-time and continuous time, and obtained a unique equilibrium. In this thesis, we consider two generalized discrete-time models. The first part, we discuss whether there exists an equilibrium when the pricing rule is no more a linear function but an exponential function. The second part, instead of classical Brownian motion, in Kyle’s linear model we investigate a model with a fractional Brownian motion as noise traders’ trading volume, and discuss if there exists a sequential equilibrium under this model.
author2	Wu, Ching-Tang
author_facet	Wu, Ching-Tang Hsu, Pei-Jung 許珮蓉
author	Hsu, Pei-Jung 許珮蓉
spellingShingle	Hsu, Pei-Jung 許珮蓉 Optimal Insider Trading Strategies in the Generalized Discrete-time Kyle’s Models
author_sort	Hsu, Pei-Jung
title	Optimal Insider Trading Strategies in the Generalized Discrete-time Kyle’s Models
title_short	Optimal Insider Trading Strategies in the Generalized Discrete-time Kyle’s Models
title_full	Optimal Insider Trading Strategies in the Generalized Discrete-time Kyle’s Models
title_fullStr	Optimal Insider Trading Strategies in the Generalized Discrete-time Kyle’s Models
title_full_unstemmed	Optimal Insider Trading Strategies in the Generalized Discrete-time Kyle’s Models
title_sort	optimal insider trading strategies in the generalized discrete-time kyle’s models
publishDate	2013
url	http://ndltd.ncl.edu.tw/handle/29376325714246127310
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Optimal Insider Trading Strategies in the Generalized Discrete-time Kyle’s Models

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