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On uniqueness of equilibrium in the Kyle Model

Author

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  • Mc Lennan, Andrew
  • Monteiro, P. K.
  • Tourky, Rabee

Abstract

A longstanding unresolved question is whether the one-period Kyle Model of an informed trader and a noisily informed market maker has an equilibrium that is different from the closed-form solution derived by Kyle (1985). This note advances what is known about this open problem.

Suggested Citation

  • Mc Lennan, Andrew & Monteiro, P. K. & Tourky, Rabee, 2014. "On uniqueness of equilibrium in the Kyle Model," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 761, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
    • Handle: RePEc:fgv:epgewp:761
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    References listed on IDEAS

    as
    1. Shino Takayama, 2013. "Price Manipulation, Dynamic Informed Trading and Tame Equilibria: Theory and Computation," Discussion Papers Series 492, School of Economics, University of Queensland, Australia.
    2. Kyle, Albert S, 1985. "Continuous Auctions and Insider Trading," Econometrica, Econometric Society, vol. 53(6), pages 1315-1335, November.
    3. Back, Kerry, 1992. "Insider Trading in Continuous Time," The Review of Financial Studies, Society for Financial Studies, vol. 5(3), pages 387-409.
    4. Hellwig, Martin F., 1980. "On the aggregation of information in competitive markets," Journal of Economic Theory, Elsevier, vol. 22(3), pages 477-498, June.
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    Cited by:

    1. Sander Heinsalu, 2018. "Dynamic Noisy Signaling," American Economic Journal: Microeconomics, American Economic Association, vol. 10(2), pages 225-249, May.

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