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Upravlenie Bol'shimi Sistemami, 2016, Issue 64, Pages 6–26 (Mi ubs894)  

This article is cited in 1 scientific paper (total in 1 paper)

Systems Analysis

Modified multistage bidding model with a countable set of states

A. I. Pyanykh

Lomonosov Moscow State University
Full-text PDF (335 kB) Citations (1)
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Abstract: A simplified financial market model with two players bidding for one unit of a risky asset for several consecutive stages is considered. First Player (an insider) is informed about the liquidation price of the asset which can take any value in $\mathbb{Z}_{+}$. At the same time Second Player knows only probability distribution $\bar p$ of the price and that First Player is an insider. At each bidding stage the players place integer bids. The higher bid wins and one unit of the asset is transacted to the winning player at the cost equal to a convex combination of the bids with some coefficient $\beta$. After each stage the bids are announced to the players. In this paper we obtain a solution to an infinitely long zero-sum game for distributions $\bar p$ with finite variation. The optimal strategy of the insider player generates a non-symmetric random walk of the asset price which supports the hypothesis that stock price fluctuations have a strategic origin.
Keywords: repeated zero-sum games, asymmetric information, insider trading.
Bibliographic databases:
Document Type: Article
UDC: 519.83
BBC: 22.18
Language: Russian
Citation: A. I. Pyanykh, “Modified multistage bidding model with a countable set of states”, UBS, 64 (2016), 6–26
Citation in format AMSBIB
\Bibitem{Pya16}
\by A.~I.~Pyanykh
\paper Modified multistage bidding model with a countable set of states
\jour UBS
\yr 2016
\vol 64
\pages 6--26
\mathnet{http://mi.mathnet.ru/ubs894}
\elib{https://elibrary.ru/item.asp?id=27485092}
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  • https://www.mathnet.ru/eng/ubs/v64/p6
  • This publication is cited in the following 1 articles:
    Citing articles in Google Scholar: Russian citations, English citations
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