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

Gietzmann, Miles B. and Ostaszewski, Adam (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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Identification Number: 10.1017/apr.2016.45

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
Sets: Departments > Mathematics
Date Deposited: 28 Oct 2015 14:21
Last Modified: 30 Jan 2019 20:13
URI: http://eprints.lse.ac.uk/id/eprint/64206

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