English, Article edition: FINANCIAL MARKET MODEL WITH INFLUENTIAL INFORMED INVESTORS AXEL GRORUD; MONIQUE PONTIER

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Bookmark: http://trove.nla.gov.au/version/82913
Physical Description
  • article
Language
  • English

Edition details

Title
  • FINANCIAL MARKET MODEL WITH INFLUENTIAL INFORMED INVESTORS
Author
  • AXEL GRORUD
  • MONIQUE PONTIER
Physical Description
  • article
Notes
  • We develop a financial model with an "influential informed" investor who has an additional information and influences asset prices by means of his strategy. The prices dynamics are supposed to be driven by a Brownian motion, the informed investor's strategies affect the risky asset trends and the interest rate. Our paper could be seen as an extension of Cuoco and Cvitanic's work [4] since, as these authors, we solve the informed influential investor's optimization problem. But our main result is the construction of statistical tests to detect if, observing asset prices and agent's strategies, this influential agent is or not an informed trader.
  • Additional information, influential investor, insider trading test
  • RePEc:wsi:ijtafx:v:08:y:2005:i:06:p:693-716
Language
  • English
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