Risk-averse insider trading in multi-asset sequential auction markets

We extend Kyle’s (1985) analysis of sequential auction markets to the case in which a risk-averse insider possesses private information on several risky assets. The insider trades aggressively and so that the price impact of order flow is symmetric across assets.

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Year of publication:	2012
Authors:	Vitale, Paolo
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 117.2012, 3, p. 673-675
Publisher:	Elsevier
Subject:	Risk-aversion \| Sequential auction markets \| Long-lived private information

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Type of publication:	Article
Classification:	C61 - Optimization Techniques; Programming Models; Dynamic Analysis
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010594065