The Equilibrium and Its Asymptotic Analysis of Insider Trading Model Under the Incomplete Information with a Risk-seeking Insider Trader
JI Xiaoyan1, GONG Fuzhou2
1. School of Mathematics and Computational Science, Changsha University of Science & Technology, Changsha 410114; 2. Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing 100190
The improved Kyle model under the incomplete information with a risk-seeking insider trader, which is an insider trading model and a dynamic game model, was studied. The incomplete information means that, the insider trader only knows a signal of the fundamental value of a risky asset but not it. The unique equilibrium of this model was determined, the asymptotic behavior of some financial variables in the model was analyized, and the economic meaning of variation feature for these variables was also given.
JI Xiaoyan,GONG Fuzhou. The Equilibrium and Its Asymptotic Analysis of Insider Trading Model Under the Incomplete Information with a Risk-seeking Insider Trader[J]. Acta Mathematicae Applicatae Sinica, 2014, 37(2): 304-312.
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