Scott Robertson (Boston University)
Thursday, February 14, 2019 - 16:15
Institut für Mathematik, Humboldt-Universität zu Berlin
Rudower Chaussee 25, 12489 Berlin, Raum 1.115, 1. Etage
Forschungsseminar "Stochastische Analysis und Stochastik der Finanzmärkte"
Prof. P. Bank, Dr. Ch. Bayer, Prof. D. Becherer, Prof. P. Friz, Prof. U. Horst, Prof. D. Kreher, Prof. N. Perkowski
In this talk, we study equilibria in multi-asset and multi-agent continuous-time economies with asymmetric information. We establish existence of two equilibria. First, a full communication one where the informed agents' signal is disclosed to the market, and static policies are optimal. Second, a partial communication one where the signal disclosed is affine in the informed and noise traders' signals. Here, information asymmetry creates demand for a dark pool with endogenous participation where private information trades can be implemented. Markets are endogenously complete and equilibrium prices have a three factor structure. Results are valid for multiple dimensions; constant absolute risk averse investors; fundamental processes following a general diffusion; non-linear terminal payoffs, and non-Gaussian noise trading. Asset price dynamics and public information flows are endogenous, and are established using multiple filtration enlargements, in conjunction with predictable representation theorems for random analytic maps. Rational expectations equilibria are special cases of the general results. Joint work with Jerome Detemple and Marcel Rindisbacher, both of Boston University
submitted by Sabine Bergmann (bergmann@mathematik.hu-berlin.de, 030/2093 5811)