A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.
Study shows Skorokhod insider outperforms forward insider in logarithmic utility maximization.
Network analysis detects insider trading by flagging coordinated trades.
Study risk-averse insider's behavior in dynamic signal asset pricing.
In this paper, we present a multi-period trading model in the style of Kyle (1985)'s inside trading model, by assuming that there are at least two insiders in the market with long-lived private information, under the requirement that each insider publicly discloses his stock trades after the fact. Based on this model, …
Insider trading is reduced when penalized, affecting expected penalties in a non-monotone way.
Insider trading is one of the numerous white collar crimes that can contribute to the instability of the economy. Traditionally, the detection of illegal insider trades has been a human-driven process. In this paper, we collect the insider tradings made available by the US Securities and Exchange Commissions (SEC) thro…
Honest traders can outperform insiders in a Black-Scholes market with positive probability.
Study examines insider trading in short-selling restricted markets.
Kyle (1985) builds a pioneering and influential model, in which an insider with long-lived private information submits an optimal order in each period given the market maker's pricing rule. An inconsistency exists to some extent in the sense that the ``constant pricing rule " actually assumes an adaptive expected price…
Before a person can be prosecuted and convicted for insider trading, he must first execute the overt act of trading. If no sale of security is consummated, no crime is also consummated. However, through a complex and insidious combination of various financial instruments, one can capture the same amount of gains from i…
We study the gain of an insider having private information which concerns the default risk of a counterparty. More precisely, the default time τis modelled as the first time a stochastic process hits a random barrier L. The insider knows this barrier (as it can be the case for example for the manager of the counterpart…
Insiders camouflage trading to balance wealth and stealth, avoiding legal penalties.
We study super--replication of European contingent claims in an illiquid market with insider information. Illiquidity is captured by quadratic transaction costs and insider information is modeled by an investor who can peek into the future. Our main result describes the scaling limit of the super--replication prices wh…
XGBoost detects unlawful insider trading with high accuracy.
Consider a mean curvature flow of hypersurfaces in Euclidean space, that is initially graphical inside a cylinder. There exists a period of time during which the flow is graphical inside the cylinder of half the radius. Here we prove a lower bound on this period depending on the Lipschitz-constant of the initial graphi…
We consider the problem of optimal inside portfolio in a financial market with a corresponding wealth process modelled by \begin{align}\label{eq0.1} \begin{cases} dX(t)&=π(t)X(t)[α(t)dt+β(t)dB(t)]; \quad t\in[0, T] X(0)&=x_0>0, \end{cases} \end{align} where is a Brownian motion. We assum…
Informed traders strategically reveal noisier signals, making prices less responsive to public information.
Researchers tackle insider trading in incomplete markets using a discrete-time jump process approach.
New discrete-time model shows insider trading dynamics.
Within the well-known framework of financial portfolio optimization, we analyze the existing relationships between the condition of arbitrage and the utility maximization in presence of \emph{insider information}. We assume that, since the initial time, the information flow is altered by adding the knowledge of an addi…
This paper studies the Glosten Milgrom model whose risky asset value admits an arbitrary discrete distribution. Contrast to existing results on insider's models, the insider's optimal strategy in this model, if exists, is not of feedback type. Therefore a weak formulation of equilibrium is proposed. In this weak formul…
We study a multiply warped products manifold associated with the Reissner-Nordstrom metric to investigate the physical properties inside the black hole event horizons. It is shown that, different from the uncharged Schwarzschild metric, the Ricci curvature components inside the Reissner-Nordstrom black hole horizons ar…
Study identifies roots of hyperelliptic involutions and braid groups in mapping class groups.
Illegal insider trading of stocks is based on releasing non-public information (e.g., new product launch, quarterly financial report, acquisition or merger plan) before the information is made public. Detecting illegal insider trading is difficult due to the complex, nonlinear, and non-stationary nature of the stock ma…
In a unified framework we study equilibrium in the presence of an insider having information on the signal of the firm value, which is naturally connected to the fundamental price of the firm related asset. The fundamental value itself is announced at a future random (stopping) time. We consider two cases. First when t…
We construct an algebraic version of Lagrangian Floer homology for immersed curves inside the pillowcase. We first associate to the pillowcase an algebra A. Then to an immersed curve L inside the pillowcase we associate an A infinity module M(L) over A. Then we prove that Lagrangian Floer homology HF(L,L') is isomorphi…
In this paper, we present a multi-period trading model by assuming that traders face not only asymmetric information but also heterogenous prior beliefs, under the requirement that the insider publicly disclose his stock trades after the fact. We show that there is an equilibrium in which the irrational insider camoufl…
A model for insider trading with past price dependencies.
Method detects insider trading using trading data and dimensionality reduction.
Gradient boosting detects insider purchases predicting abnormal returns in microcap stocks.
In this paper, the Kyle model of insider trading is extended by characterizing the trading volume with long memory and allowing the noise trading volatility to follow a general stochastic process. Under this newly revised model, the equilibrium conditions are determined, with which the optimal insider trading strategy,…
Study uses random forest to detect unlawful insider trading in financial data.
Continuous-time model shows insider trading constraints impact market dynamics.
Paper presents a new approach to a strategic insider equilibrium problem in continuous time.
Analysis of an organization's computer network activity is a key component of early detection and mitigation of insider threat, a growing concern for many organizations. Raw system logs are a prototypical example of streaming data that can quickly scale beyond the cognitive power of a human analyst. As a prospective fi…
We present a new approach to the optimal portfolio problem for an insider with logarithmic utility. Our method is based on white noise theory, stochastic forward integrals, Hida-Malliavin calculus and the Donsker delta function.
Two machine learning methods detect insider trading from investor activity data.
ADSAGE detects anomalies in graph edge sequences for insider threat detection.
Study on markets with insiders receiving private signals affecting asset prices and information flow.
This paper proves integrability of Birkhoff billiards inside convex cones.
The folk result in Kyle-Back models states that the value function of the insider remains unchanged when her admissible strategies are restricted to absolutely continuous ones. In this paper we show that, for a large class of pricing rules used in current literature, the value function of the insider can be finite when…
The FCA improved insider trading regulation after 2012, reducing abnormal returns.
Study compares different integrals for optimal portfolio optimization with insider information.
We determine the image of the braid groups inside the Iwahori-Hecke algebras of type A, when defined over a finite field, in the semisimple case, and for suitably large (but controlable) order of the defining (quantum) parameter.
On a flat plane, convexity of a set is preserved by both radial expansion and contraction of the set about any point inside it. Using the Poincaré disk model of hyperbolic geometry, we prove that radial expansion of a hyperbolic convex set about a point inside it always preserves hyperbolic convexity. Using stereograph…
The background for the general mathematical link between utility and information theory investigated in this paper is a simple financial market model with two kinds of small traders: less informed traders and insiders, whose extra information is represented by an enlargement of the other agents' filtration. The expecte…
In this paper, we consider the pricing and hedging of a financial derivative for an insider trader, in a model-independent setting. In particular, we suppose that the insider wants to act in a way which is independent of any modelling assumptions, but that she observes market information in the form of the prices of va…
We study arbitrage opportunities, market viability and utility maximization in market models with an insider. Assuming that an economic agent possesses from the beginning an additional information in the form of a random variable G, which only becomes known to the ordinary agents at date T, we give criteria for the No …