Impacts Of Partial Information To The Wealth Value In The Financial Markets

In this project, we consider the impacts of partial information to the wealth value in the financial markets. Most traders do not have access to full information which means people need to invest with partial information. The form of partial information which we are considered is delay. Firstly, we introduce the works of (?)ksendal[11], which build the model of lost value via the lack of information under the B-S world, then present the lost value which is the difference between the wealth value under full information and partial information. Secondly, we try to simulate the stock price processes generated by some typical Levy process, such as Merton-jump diffusion, normal-inverse-Gaussian. Then, We calculate the lost values respectively. Further more, we try to study the impacts of market volatility, the quantity and timing of lost infomation via controlling variables method respectively. Through all these work, we get some assumptions. At last, we prove these assumptions via three empirical analysis.