SFB 649 I: Stochastic Analysis of financial markets with heterogeneous information (TP B 6)

The project area B6 busies itself with the finance mathematical modeling of markets, on which agents with different information level are active, especially the risk produced by insider trading. In two steps, above all connections between utility theory and information theory, will be devolved: on the mesoscopic level 2 and 3 trade models will be examined with small noise trader and insider and large market makers, analysts, managers or experts; on the micro-economic level the market will be from several types of agents with typical patterns of information privileges and trade defined and in the mesoscopic Limes consequences for market behaviour and the statistical identification of insiders will be examined. There are methodical connections with project areas A1, A2, and C6 and regarding content with A1, B1 and B2.