We introduce endogenous participation of market makers into a Kyle-type model with long-lived asymmetric information. In our model with plausible parameter values, the trading volume and price volatility show a U-shaped intraday pattern, often observed in actual financial markets. It will be...

Funahashi and Kijima (in press, A chaos expansion approach for the pricing of contingent claims, <italic>Journal of Computational Finance</italic>) have proposed an approximation method based on the Wiener--Ito chaos expansion for the pricing of European-style contingent claims. In this paper, we extend the...