Existence of linear equilibria in the Kyle model with multiple informed traders
AbstractWe consider Kyle's market order model of insider trading with multiple informed traders and show: if a linear equilibrium exists for two different numbers of informed traders, asset payoff and noise trading are independent and have finite second moments, then these random variables are normally distributed.
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Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 72 (2001)
Issue (Month): 2 (August)
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Web page: http://www.elsevier.com/locate/ecolet
Other versions of this item:
- Georg Nöldeke & Thomas Tröger, 2001. "Existence of Linear Equilibria in the Kyle Model with Multiple Informed Traders," Bonn Econ Discussion Papers bgse1_2001, University of Bonn, Germany.
- C62 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Existence and Stability Conditions of Equilibrium
- D82 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Asymmetric and Private Information; Mechanism Design
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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- Nöldeke, Georg & Tröger, Thomas, 2005. "A Characterization of the Distributions That Imply Existence of Linear Equilibria in the Kyle-Model," Discussion Paper Series of SFB/TR 15 Governance and the Efficiency of Economic Systems 43, Free University of Berlin, Humboldt University of Berlin, University of Bonn, University of Mannheim, University of Munich.
- Georg Nöldeke & Thomas Tröger, 2005. "A Characterization of the Distributions That Imply Existence of Linear Equilbria in the Kyle-Model," Bonn Econ Discussion Papers bgse9_2005, University of Bonn, Germany.
- Grégoire, Philippe & Huang, Hui, 2012. "Information disclosure with leakages," Economic Modelling, Elsevier, vol. 29(5), pages 2005-2010.
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