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Insider Trading in Convergent Markets |
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| Authors: | Mattias Jonsson Jan Ve?e? |
| Institution: | 1. University of Michigan , Department of Mathematics , Ann Arbor, MI 48109‐1109;2. Columbia University , Department of Statistics , New York, NY 10027 |
| Abstract: | Optimal trading strategies are found for an insider who is trading in two convergent stocks and is bound by margin constraints. |
| Keywords: | Convergent stocks optimal trading strategies insider margin constraints |