The sound of silence: equilibrium filtering and optimalcensoring in financial markets

Gietzmann, Miles B. and Ostaszewski, Adam ORCID: 0000-0003-2630-8663 (2016) The sound of silence: equilibrium filtering and optimalcensoring in financial markets. Advances in Applied Probability, 48 (A). pp. 119-144. ISSN 0001-8678

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Abstract

Following the approach of standard filtering theory, we analyse investor-valuation of firms, when these are modelled as geometric-Brownian state processes that are privately and partially observed, at random (Poisson) times, by agents. Tasked with disclosing forecast values, agents are able purposefully to withhold their observations; explicit filtering formulas are derived for downgrading the valuations in the absence of disclosures. The analysis is conducted for both a solitary firm and m co-dependent firms.

Item Type:	Article
Official URL:	http://projecteuclid.org/all/euclid.aap
Additional Information:	©2016 Applied Probability Trust
Divisions:	Mathematics
Subjects:	Q Science > QA Mathematics
Date Deposited:	28 Oct 2015 14:21
Last Modified:	01 Oct 2024 03:43
URI:	http://eprints.lse.ac.uk/id/eprint/64206

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