For a seminar, I would like to graphically represent the returns made by agents of different information standpoints. In other words, say I have a market tuple $(\Omega, \mathbb{F}, P,S)$ where $S$ is a stochastic process representing the price process of the one risky asset. Next say we have $k$ agents who respectively have information represented by the filtration $\mathbb F_{i}$ for the $i$-th agent $(i = 1,...,k)$. Now, let $\mathbb F \subseteq \mathbb F_{1} \subseteq ...\subseteq \mathbb F_{k}$.

How can I model the "random walks" of the different agents and further how can I define the $\sigma-$algebras or filtrations in a programming sense in order to make sense and compute them?

Grateful for any advice.

  • $\begingroup$ Oh boy, this is a very tough problem to model, perhaps unsolvable without major conceptual breakthroughs in Financial Economics and Game Theory. Good luck. $\endgroup$
    – noob2
    Mar 6 '20 at 14:19
  • $\begingroup$ @noob2 any other ideas to get some insightful simulations/graphics of insider information? $\endgroup$ Mar 6 '20 at 23:57
  • $\begingroup$ I would google for "extensions to multivariate kyle model" and see if anything comes up. That sounds like more than one Ph.D thesis !!!!! $\endgroup$
    – mark leeds
    Mar 7 '20 at 14:24

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