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Theses

Utilisation optimale de l'information privée et évolution stochastique des prix sur un marché financier

Abstract : In this dissertation we investigate a problem of asymmetry of information on a stock market. The models we consider are zero-sum repeated games with one-sided information as introduced by Aumann and Maschler. Our aim is to study at first the strategic use of private information on a stock market and then to explain how private information is gradually incorporate in the prices set during the trade. Our work focus particularly on the analysis of the strategic behaviour of the uninformed agent. We show that in the absence of external factors subject to unpredictable variations ( demographic and technological parameters, exogeneous offers,...), the prices proposed at equilibrium tend asymptotically to a martingale related to the Brownian Motion : to limit a too strong revelation of his information, the well-informed agent randomizes slightly his actions generating in this way the stochastic evolution of the prices process.
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http://docnum.univ-lorraine.fr/prive/SCD_T_2002_0009_MOUSSA.pdf
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https://hal.univ-lorraine.fr/tel-01746628
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Submitted on : Thursday, March 29, 2018 - 10:41:32 AM
Last modification on : Tuesday, March 2, 2021 - 5:12:06 PM

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Hadiza Moussa. Utilisation optimale de l'information privée et évolution stochastique des prix sur un marché financier. Mathématiques générales [math.GM]. Université Henri Poincaré - Nancy 1, 2002. Français. ⟨NNT : 2002NAN10009⟩. ⟨tel-01746628⟩

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