Asymmetric information in a market with n + 1 Brownian motions

This paper covers asymmetric information in nancial mar- kets from a micro perspective. Particularly, we aim to extend the as- set pricing framework introduced by Guasoni [2], which models price dynamics with both a martingale component, described by permanent shocks, and a stationary component, given by temporary shocks. First, we derive a generalization of this asset pricing model using n Brown- ian Motions, including an Ornstein-Uhlenbeck process as the (n + 1)th element. We nd non-Markovian dynamics for the partially informed agents, which questions the validity of the ecient market hypothesis. Moreover, we compare the positions of informed and partially informed agents. Thereby, the ltration for informed agents is larger and initially specied, whereas the ltration for partially informed agents is smaller and obtained from the Hitsuda representation [3]. Our study examines the logarithmic utility maximization problem.