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Solution for One-Stage Bidding Game with Incomplete Information
Contributions to game theory and management, Tome 5 (2012), pp. 268-285 Cet article a éte moissonné depuis la source Math-Net.Ru

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We investigate a model of one-stage bidding between two differently informed stockmarket agents for a risky asset (share). The random liquidation price of a share may take two values: the integer positive $m$ with probability $p$ and 0 with probability $1-p$. Player 1 (insider) is informed about the price, Player 2 is not. Both players know the probability $p$. Player 2 knows that Player 1 is an insider. Both players propose simultaneously their bids. The player who posts the larger bid buys one share from his opponent for this price. Any integer bids are admissible. The model is reduced to a zero-sum game with lack of information on one side. We construct the solution of this game for any $p$ and $m$: we find the optimal strategies of both players and describe recurrent mechanism for calculating the game value. The results are illustrated by means of computer simulation.
Keywords: insider trading, asymmetric information, equalizing strategies, optimal strategies. 
@article{CGTM_2012_5_a23,
     author = {Marina S. Sandomirskaia and Victor C. Domansky},
     title = {Solution for {One-Stage} {Bidding} {Game} with {Incomplete} {Information}},
     journal = {Contributions to game theory and management},
     pages = {268--285},
     year = {2012},
     volume = {5},
     language = {en},
     url = {http://geodesic.mathdoc.fr/item/CGTM_2012_5_a23/}
}
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Marina S. Sandomirskaia; Victor C. Domansky. Solution for One-Stage Bidding Game with Incomplete Information. Contributions to game theory and management, Tome 5 (2012), pp. 268-285. http://geodesic.mathdoc.fr/item/CGTM_2012_5_a23/

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