FINANCIAL MARKET MODEL WITH INFLUENTIAL INFORMED INVESTORS

Axel Grorud () and Monique Pontier ()
Additional contact information
Axel Grorud: U.M.R. CNRS 6632, C.M.I., Université de Provence, 39 rue Joliot-Curie, 13453 Marseille cedex 13, France
Monique Pontier: U.M.R. CNRS C 5583, Laboratoire de statistique et probabilités, Université Paul Sabatier, 118 route de Narbonne, 31 062 Toulouse cedex 04, France

International Journal of Theoretical and Applied Finance (IJTAF), 2005, vol. 08, issue 06, 693-716

Abstract: 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.

Keywords: Additional information; influential investor; insider trading test (search for similar items in EconPapers)
Date: 2005
References: View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://www.worldscientific.com/doi/abs/10.1142/S0219024905003219
Access to full text is restricted to subscribers

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wsi:ijtafx:v:08:y:2005:i:06:n:s0219024905003219

Ordering information: This journal article can be ordered from

DOI: 10.1142/S0219024905003219

Access Statistics for this article

International Journal of Theoretical and Applied Finance (IJTAF) is currently edited by L P Hughston

More articles in International Journal of Theoretical and Applied Finance (IJTAF) from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().