Drift operator in a market affected by the expansion of information flow : a case study
Probability
2012-07-09 v1
Abstract
We consider a viable market model. Suppose that new information arrives at the market. We are interested in modeling the market reaction facing to the change of information. In particular we seek for the limit on the intensity of information change below which the market stays always viable. We succeed to find such a limit with the drift operator when the market possesses the martingale representation property.
Keywords
Cite
@article{arxiv.1207.1662,
title = {Drift operator in a market affected by the expansion of information flow : a case study},
author = {Shiqi Song},
journal= {arXiv preprint arXiv:1207.1662},
year = {2012}
}