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Existence of linear equilibria in the Kyle model with multiple informed traders

  • Noldeke, Georg
  • Troger, Thomas

We 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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File URL: http://www.sciencedirect.com/science/article/B6V84-4379GRM-5/2/a6a572d2887a983affd2c0f8f20c8dcc
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Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 72 (2001)
Issue (Month): 2 (August)
Pages: 159-164

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Handle: RePEc:eee:ecolet:v:72:y:2001:i:2:p:159-164
Contact details of provider: Web page: http://www.elsevier.com/locate/ecolet

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  1. Foster, F Douglas & Viswanathan, S, 1993. "The Effect of Public Information and Competition on Trading Volume and Price Volatility," Review of Financial Studies, Society for Financial Studies, vol. 6(1), pages 23-56.
  2. Kyle, Albert S, 1985. "Continuous Auctions and Insider Trading," Econometrica, Econometric Society, vol. 53(6), pages 1315-35, November.
  3. Holden, Craig W & Subrahmanyam, Avanidhar, 1992. " Long-Lived Private Information and Imperfect Competition," Journal of Finance, American Finance Association, vol. 47(1), pages 247-70, March.
  4. Pagano, Marco & Roell, Ailsa, 1996. " Transparency and Liquidity: A Comparison of Auction and Dealer Markets with Informed Trading," Journal of Finance, American Finance Association, vol. 51(2), pages 579-611, June.
  5. Rochet, Jean-Charles & Vila, Jean-Luc, 1994. "Insider Trading without Normality," Review of Economic Studies, Wiley Blackwell, vol. 61(1), pages 131-52, January.
  6. Mark Bagnoli & S. Viswanathan & Craig Holden, 2001. "On the Existence of Linear Equilibria in Models of Market Making," Mathematical Finance, Wiley Blackwell, vol. 11(1), pages 1-31.
  7. Back, Kerry, 1992. "Insider Trading in Continuous Time," Review of Financial Studies, Society for Financial Studies, vol. 5(3), pages 387-409.
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