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SUMMARY:Detection of critical events before public announcements - Arne Lo
 kka (LSE)
DTSTART:20100525T153000Z
DTEND:20100525T163000Z
UID:TALK24232@talks.cam.ac.uk
CONTACT:Berestycki
DESCRIPTION:I consider an asset price which follows a geometric Brownian m
 otion\, but which changes its drift an some unobservable time before a ran
 dom observable time (which could correspond to the announcement of a takeo
 ver/merger). This change in behaviour has been documented in the literatur
 e and can be attributed to insider trading. I derive the dynamics under in
 complete information and use a change point detection formulation to find 
 the optimal time to sell/buy the stock. \n\n\nhttp://www.mth.kcl.ac.uk/fin
 math/al.html
LOCATION:MR12\, CMS\, Wilberforce Road\, Cambridge\, CB3 0WB
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