Mathematics of Market Microstructure under Asymmetric Information
Umut \c{C}et{\i}n
TL;DR
This paper provides an introduction to the mathematical foundations of market microstructure under asymmetric information, focusing on models like Kyle's and related filtering and filtration techniques.
Contribution
It offers a concise overview of key mathematical models and methods used to analyze market microstructure with asymmetric information.
Findings
Explains Kyle's model and its significance.
Introduces filtering and filtration techniques in finance.
Summarizes mathematical tools for asymmetric information analysis.
Abstract
These are the lecture notes for the summer course given for 2018 Mathematical Finance Summer School at Shandong Unversity. It contains a brief introduction to the Kyle model and the related topics in filtering, enlargement of filtrations and Markov bridges.
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Taxonomy
TopicsComplex Systems and Time Series Analysis · Stochastic processes and financial applications · Financial Markets and Investment Strategies