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Existence and convergence of discrete-time Kyle models with multiple insiders

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  • Jin Choi
  • Kasper Larsen

Abstract

Foster and Viswanathan (1996) extend the discrete-time setting of Kyle (1985) to multiple informed traders who have partial information about the stock's terminal dividend. We resolve two long-standing open problems in this literature. First, we prove that an equilibrium exists in the setting of Foster and Viswanathan (1996). Second, as the number of trading times goes to infinity, we prove that the discrete-time equilibrium converges to the continuous-time equilibrium already proven to exist in Back, Cao, and Willard (2000).

Suggested Citation

  • Jin Choi & Kasper Larsen, 2026. "Existence and convergence of discrete-time Kyle models with multiple insiders," Papers 2607.15057, arXiv.org, revised Jul 2026.
    • Handle: RePEc:arx:papers:2607.15057
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    References listed on IDEAS

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    1. Kerry Back & C. Henry Cao & Gregory A. Willard, 2000. "Imperfect Competition among Informed Traders," Journal of Finance, American Finance Association, vol. 55(5), pages 2117-2155, October.
    2. Foster, F. Douglas & Viswanathan, S., 1994. "Strategic Trading with Asymmetrically Informed Traders and Long-Lived Information," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 29(4), pages 499-518, December.
    3. Kyle, Albert S, 1985. "Continuous Auctions and Insider Trading," Econometrica, Econometric Society, vol. 53(6), pages 1315-1335, November.
    4. Back, Kerry, 1992. "Insider Trading in Continuous Time," The Review of Financial Studies, Society for Financial Studies, vol. 5(3), pages 387-409.
    5. RenÈ Caldentey & Ennio Stacchetti, 2010. "Insider Trading With a Random Deadline," Econometrica, Econometric Society, vol. 78(1), pages 245-283, January.
    6. Jean-Charles Rochet & Jean-Luc Vila, 1994. "Insider Trading without Normality," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 61(1), pages 131-152.
    7. Foster, F Douglas & Viswanathan, S, 1996. "Strategic Trading When Agents Forecast the Forecasts of Others," Journal of Finance, American Finance Association, vol. 51(4), pages 1437-1478, September.
    8. Holden, Craig W & Subrahmanyam, Avanidhar, 1992. "Long-Lived Private Information and Imperfect Competition," Journal of Finance, American Finance Association, vol. 47(1), pages 247-270, March.
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