英文标题：
《The Sound of Silence: equilibrium filtering and optimal censoring in
financial markets》
---
作者：
Miles B. Gietzmann and Adam J. Ostaszewski
---
最新提交年份：
2016
---
英文摘要：
Following the approach of standard filtering theory, we analyse investor-valuation of firms, when these are modelled as geometric-Brownian state processes that are privately and partially observed, at random (Poisson) times, by agents. Tasked with disclosing forecast values, agents are able purposefully to withhold their observations; explicit filtering formulas are derived for downgrading the valuations in the absence of disclosures. The analysis is conducted for both a solitary firm and m co-dependent firms.
---
中文摘要：
遵循标准过滤理论的方法，我们分析了投资者对公司的估值，当这些估值被建模为几何布朗状态过程时，这些过程是由代理人在随机（泊松）时间内私下和部分观察到的。负责披露预测值的代理能够有目的地保留其观察结果；导出了显式过滤公式，用于在没有披露的情况下降低估值。本文对一家独立企业和m家相互依存的企业进行了分析。
---
分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
--

---
PDF下载：
-->