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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- Rochet, J.C. & Vila, J.L., 1993.
"Insider Trading Without Normality,"
93.b, Toulouse - GREMAQ.
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- 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.
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