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  1. A characterization of the distributions that imply existence of linear equilbria in the Kyle-Model
    Published: 2005
    Publisher:  Graduate School of Economics, Bonn

    The existence of a linear equilibrium in Kyle’s model of market making with multiple, symmetrically informed strategic traders is implied for any number of strategic traders if the joint distribution of the underlying exogenous random variables... more

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Inter-library loan:
    No inter-library loan

     

    The existence of a linear equilibrium in Kyle’s model of market making with multiple, symmetrically informed strategic traders is implied for any number of strategic traders if the joint distribution of the underlying exogenous random variables is elliptical. The reverse implication has been shown for the case in which the random variables are independent and have finite second moments. Here we extend this result to the case in which the underlying random variables are not necessarily independent and their joint distribution is determined by its moments.

     
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    Content information
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Bonn econ discussion papers ; 2005,9
    Subjects: Marktmikrostruktur; Theorie; Kyle model
    Scope: Online-Ressource, 19 p., text
  2. Insider trading with penalties
    Author: Carré, Sylvain; Collin-Dufresne, Pierre; Gabriel, Franck
    Published: 2021
    Publisher:  Higher School of Economics Publ. House, Moscow

    Access:
    Verlag (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Inter-library loan:
    No inter-library loan
    Export to reference management software   RIS file
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Array ; WP9/2021, 02
    Subjects: Kyle model; non-linear equilibria; existence and uniqueness; market microstruc-ture; insider trading; market regulation; effi cient penalties
    Scope: 1 Online-Ressource (circa 72 Seiten), Illustrationen