Existence of linear equilibria in the Kyle model with multiple informed traders
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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- Jean-Charles Rochet & Jean-Luc Vila, 1994.
"Insider Trading without Normality,"
Review of Economic Studies,
Oxford University Press, vol. 61(1), pages 131-152.
- Rochet, J.C. & Vila, J.L., 1993. "Insider Trading Without Normality," Papers 93.b, Toulouse - GREMAQ.
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- 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. Full references (including those not matched with items on IDEAS)