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- W2067087447 abstract "Cette Note utilise la technique de grossissement de filtrations browniennes pour modéliser l'observation obtenue par un agent économique « initié . Les politiques admissibles optimales sont caractérisées et, sous des hypothèses gaussiennes, un test statistique est proposé pour détecter si l'agent a effectivement bénéficié d'informations anticipant le marché. This Note uses the enlargement of filiations for modelling the observation of a financial market by an insider trader. A characterization of admissible strategies and a criterium for optimization are given. Then a statistical test is proposed to test the unknown of the future against its knowledge." @default.
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- W2067087447 date "1997-05-01" @default.
- W2067087447 modified "2023-09-25" @default.
- W2067087447 title "Comment détecter le délit d'initiés?" @default.
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- W2067087447 doi "https://doi.org/10.1016/s0764-4442(97)87901-3" @default.
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