Steklov Institute of Mathematics at St.Petersburg

PREPRINT 01/2006

ON STRATEGIC BACKGROUND OF RANDOM PRICE FLUCTUATIONS AT FINANCE MARKETS

This preprint was accepted January 9, 2006

ABSTRACT:
Models of repeated bidding for risky assets (shares) are considered.
Such model with arbitrary bids was introduced in De Meyer, Saley
(2002) for strategic reasoning of Brownian Motion appearence in the
price evolution at finance markets. We consider the models with
discrete admissible bids. We show that the optimal strategy of informed
agent generates random walks of posterior probabilities over admissible
bids.