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Point process bridges and weak convergence of insider trading models

Dublin Core		PKP Metadata Items	Metadata for this Document
1.	Title	Title of document	Point process bridges and weak convergence of insider trading models
2.	Creator	Author's name, affiliation, country	Umut Cetin; London School of Economics; United Kingdom
2.	Creator	Author's name, affiliation, country	Hao Xing; London School of Economics; United Kingdom
3.	Subject	Discipline(s)
3.	Subject	Keyword(s)	point process bridge, Glosten-Milgrom model, Kyle model, insider trading, equilibrium, weak convergence
3.	Subject	Subject classification	60G55; 60F05; 91G80
4.	Description	Abstract	We construct explicitly a bridge process whose distribution, in its own filtration, is the same as the difference of two independent Poisson processes with the same intensity and its time $1$ value satisfies a specific constraint. This construction allows us to show the existence of Glosten-Milgrom equilibrium and its associated optimal trading strategy for the insider. In the equilibrium the insider employs a mixed strategy to randomly submit two types of orders: one type trades in the same direction as noise trades while the other cancels some of the noise trades by submitting opposite orders when noise trades arrive. The construction also allows us to prove that Glosten-Milgrom equilibria converge weakly to Kyle-Back equilibrium, without the additional assumptions imposed in K. Back and S. Baruch, Econometrica, 72 (2004), pp. 433-465, when the common intensity of the Poisson processes tends to infinity.
5.	Publisher	Organizing agency, location
6.	Contributor	Sponsor(s)
7.	Date	(YYYY-MM-DD)	2013-02-17
8.	Type	Status & genre	Peer-reviewed Article
8.	Type	Type
9.	Format	File format	PDF
10.	Identifier	Uniform Resource Identifier	http://ejp.ejpecp.org/article/view/2039
10.	Identifier	Digital Object Identifier	10.1214/EJP.v18-2039
11.	Source	Journal/conference title; vol., no. (year)	Electronic Journal of Probability; Vol 18
12.	Language	English=en	en
14.	Coverage	Geo-spatial location, chronological period, research sample (gender, age, etc.)
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