• A
  • A
  • A
  • ABC
  • ABC
  • ABC
  • А
  • А
  • А
  • А
  • А
Regular version of the site

Article

Теоретико-игровая динамическая модель инсайдерских торгов с ненулевым спрэдом

The model of multistage insider trading between two market agents for one-type risky assets is considered. One of the players (insider) has private information about liquidation value of the asset. At each step of the bidding each player simultaneously proposes bid and ask prices for one share with fixed non-zero spread. The uninformed player uses the history of insider's moves to update his beliefs. For the bidding of unlimited duration we construct upper and lower bounds of the guaranteed insider's gain and the strategies of both players insuring these bounds. Insider's loses in the case of disclosure his private information are obtained.