A General Continuous Auction System in Presence of Insiders
José M. Corcuera
Probability Logics and Statistics, University of Barcelona, Barcelona, Spain

We analyze in a unified form how the presence of an insider makes the market be efficient when the insider knows the release time of the fundamental value of the asset. We also establish a general relationship between the problem of finding rational prices and the enlargement of filtrations problem. Moreover we consider the case when the time of the announcement is just a stopping time for all traders. In this latter case the market is not fully efficient, nevertheless there is an equilibrium where the sensitivity of prices is decreasing in time according with the probability that the announcement time is bigger than the current time. In others words, prices are becoming more and more stable when the announcement is coming.

Keywords: Market microstructure; insider trading; stochastic control; enlargement of filtrations

Biography: Associate Professor at the University of Barcelona, where currently teaches Statistics and Quantitative Finance in the Faculty of Mathematics, was Born in San Sebastián (Spain), and studied Physics at the University of the Basque Country. Then he moved to Barcelona where he studied Mathematics as well. He did his PhD in the Department of Statistics of the University of Barcelona in 1995. He has written more than 30 papers on different issues such that Information Geometry, Prediction and Asymptotics, Mathematical Finance, Inference for Stochastic Processes, etc, and he has given more than 40 talks around the world. Web Page: http://www.mat.ub.es/corcuera/