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Discussion Paper

Price Dynamics on a Stock Market with Asymmetric Information

The appearance of a Brownian term in the price dynamics on a stock market was interpreted in [De Meyer, Moussa-Saley (2003)] as a consequence of the informational asymmetries between agents. To take benefit of their private information without revealing it to fast, the informed agents have to introduce a noise on their actions, and all these noises introduced in the day after day transactions for strategic reasons will aggregate in a Brownian Motion.