Insider Trading in a Continuous Time Market Model

Axel Grorud () and Monique Pontier ()
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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

International Journal of Theoretical and Applied Finance (IJTAF), 1998, vol. 01, issue 03, 331-347

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.

Date: 1998
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DOI: 10.1142/S0219024998000199

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