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Detection of critical events before public announcements

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I consider an asset price which follows a geometric Brownian motion, but which changes its drift an some unobservable time before a random observable time (which could correspond to the announcement of a takeover/merger). This change in behaviour has been documented in the literature and can be attributed to insider trading. I derive the dynamics under incomplete information and use a change point detection formulation to find the optimal time to sell/buy the stock.

http://www.mth.kcl.ac.uk/finmath/al.html

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