The sound of silence: equilibrium filtering and optimal censoring in financial markets

Gietzmann, Miles B., Ostaszewski, Adam, Goldie, C.M. and Mijatović , A (2016) The sound of silence: equilibrium filtering and optimal censoring in financial markets. Advances in Applied Probability, 48 (A). pp. 119-144. ISSN 0001-8678

Preview

PDF - Accepted Version Download (276Kb) | Preview

• LSE expert's profile

• Published item via DOI

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
Library of Congress subject classification:	Q Science > QA Mathematics
Sets:	Departments > Mathematics
Date Deposited:	28 Oct 2015 14:21
URL:	http://eprints.lse.ac.uk/64206/

Actions (login required)

Record administration - authorised staff only