We consider simple models of financial markets with regular traders and insiders possessing some extra information … information drift, i.e. the drift to eliminate in order to preserve the martingale property in the insider's filtration, turns out … trace of the conditional laws of the insider information with respect to the filtration of the regular trader. Several …

indirect test of the hypothesis that volatility is caused by private information that affects prices when informed investors … simultaneous estimation of the interdependent duration-volatility model. In an empirical application we utilize the model for an … trade. The result that volatility shocks significantly increase expected inter-transaction durations supports this …

Stochastic Volatility (SV) models are widely used in financial applications. To decide whether standard parametric …

In this paper, we consider a security market in which two investors on different information levels maximize their … information flow, the insider possesses from the beginning extra information about the outcome of some random variable G, e …

prices caused by stochastic volatility. -- option pricing ; autoregression ; heteroskedasticity ; GARCH ; leverage effect …