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.

MoreLess

Year of publication:	2001-01
Authors:	Nöldeke, Georg ; Tröger, Thomas
Institutions:	University of Bonn, Germany
Subject:	insider trading \| Kyle model \| linear equilibrium \| normal distribution

More details

Extent:	application/pdf
Series:	Bonn Econ Discussion Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	8 pages long
Classification:	C62 - Existence and Stability Conditions of Equilibrium ; D82 - Asymmetric and Private Information ; G14 - Information and Market Efficiency; Event Studies
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005001504