دانلود مقاله ISI انگلیسی شماره 50337
ترجمه فارسی عنوان مقاله

نوسانات قیمت در بازار سهام با اطلاعات نامتقارن

عنوان انگلیسی
Price dynamics on a stock market with asymmetric information
کد مقاله سال انتشار تعداد صفحات مقاله انگلیسی
50337 2010 30 صفحه PDF
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : Games and Economic Behavior, Volume 69, Issue 1, May 2010, Pages 42–71

ترجمه کلمات کلیدی
بازی های مکرر - اطلاعات ناقص - نوسانات قیمت -
کلمات کلیدی انگلیسی
G14; C72; C73; D44Repeated games; Incomplete information; Price dynamics; Martingales of maximal variation
پیش نمایش مقاله
پیش نمایش مقاله  نوسانات قیمت در بازار سهام با اطلاعات نامتقارن

چکیده انگلیسی

When two asymmetrically informed risk-neutral agents repeatedly exchange a risky asset for numéraire, they are essentially playing an n  -times repeated zero-sum game of incomplete information. In this setting, the price LqLq at period q can be defined as the expected liquidation value of the risky asset given players' past moves. This paper indicates that the asymptotics of this price process at equilibrium, as n goes to ∞, is completely independent of the “natural” trading mechanism used at each round: it converges, as n increases, to a Continuous Martingale of Maximal Variation. This martingale class thus provides natural dynamics that could be used in financial econometrics. It contains in particular Black and Scholes' dynamics. We also prove here a mathematical theorem on the asymptotics of martingales of maximal M  -variation, extending Mertens and Zamir's paper on the maximal L1L1-variation of a bounded martingale.