On the Strategic Origin of Brownian Motion in Finance.

This paper is concerned with the stategic use of a private information on the stock market. A repeated auction model is used to analyze the evolution of the price system on a market with asymmetric information. The model turns out to be a zero-sum repeated game with one-sided information, as introduced by Aumann and Maschler.

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Year of publication:	2000
Authors:	De Meyer, B. ; Moussa Saley, H.
Institutions:	Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain
Subject:	INFORMATION \| STOCK MARKET \| AUCTIONS \| MODELS

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Series:	Papers.
Type of publication:	Book / Working Paper
Notes:	29 pages
Classification:	E1 - General Aggregative Models ; G19 - General Financial Markets. Other
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005207634