Abstract
We develop a financial model with an "influential informed" investor who has an additional information and influences asset prices by means of his strategy. The prices dynamics are supposed to be driven by a Brownian motion, the informed investor's strategies affect the risky asset trends and the interest rate. Our paper could be seen as an extension of Cuoco and Cvitanic's work [4] since, as these authors, we solve the informed influential investor's optimization problem. But our main result is the construction of statistical tests to detect if, observing asset prices and agent's strategies, this influential agent is or not an informed trader.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callMore From: International Journal of Theoretical and Applied Finance
Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
